On Azéma-Yor processes, their optimal properties and the Bachelier-drawdown equation

DOI10.1214/10-AOP614zbMath1239.60031arXiv0902.1328MaRDI QIDQ662437

Jan Obłój, Nicole El Karoui, Laurent Carraro

Publication date: 22 February 2012

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0902.1328

zbMATH Keywords

stochastic order; average value-at-risk; Skorokhod embedding problem; Azéma-Yor process; drawdown; Bachelier-drawdown equation; concave order; Hardy-Littlewood transform

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60G44: Martingales with continuous parameter

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