An explicit solution to the Skorokhod embedding problem for functionals of excursions of Markov processes

DOI10.1016/J.SPA.2006.08.005MaRDI QIDQ875905zbMATH OpenOpenAlexFDO

Authors Jan Obłój

Publication date 16 April 2007

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spa.2006.08.005

zbMATH Keywords

Bessel processSkorokhod embedding problemCox-Ingersoll-Ross processAge processAzema-Yor stopping timeExcursion theoryFunctional of excursionVallois stopping time

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44)

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Cited in

(8)

• A Dubins type solution to the Skorokhod embedding problem
• An explicit Skorokhod embedding for the age of Brownian excursions and Azéma martingale.
• On an explicit Skorokhod embedding for spectrally negative Lévy processes
• Some examples of Skorokhod embeddings obtained from the Azéma-Yor algorithm
• Constructing Self-Similar Martingales via Two Skorokhod Embeddings
• An FBSDE approach to the Skorokhod embedding problem for Gaussian processes with non-linear drift
• On the Root Solution to the Skorokhod Embedding Problem Given Full Marginals
• An explicit solution to the Skorokhod embedding problem for double exponential increments

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