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

DOI10.1016/J.SPA.2006.08.005zbMATH Open1119.60031OpenAlexW2027972900MaRDI QIDQ875905FDOQ875905

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

Recommendations

An explicit Skorokhod embedding for the age of Brownian excursions and Azéma martingale.
On an explicit Skorokhod embedding for spectrally negative Lévy processes
The Skorokhod embedding problem and its offspring
On Skorokhod embeddings and Poisson equations
A unifying class of Skorokhod embeddings: connecting the Azéma-Yor and Vallois embeddings

zbMATH Keywords

Bessel process Skorokhod embedding problem Cox-Ingersoll-Ross process Age process Azema-Yor stopping time Excursion theory Functional of excursion Vallois stopping time

Mathematics Subject Classification ID

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

Cites Work

Title not available (Why is that?)
Title not available (Why is that?)
Title not available (Why is that?)
Exponential functionals of Brownian motion and related processes
Robust hedging of the lookback option
The stopping distributions of a Markov process
Robust hedging of barrier options.
Title not available (Why is that?)
Title not available (Why is that?)
The Skorokhod embedding problem and its offspring
Transformations of Wiener Integrals Under a General Class of Linear Transformations
Title not available (Why is that?)
An optimal Skorokhod embedding for diffusions
Title not available (Why is that?)
Title not available (Why is that?)
The total time on test transform and the excess wealth stochastic orders of distributions
Title not available (Why is that?)
A class of remarkable submartingales
Title not available (Why is that?)
Title not available (Why is that?)
Title not available (Why is that?)
Title not available (Why is that?)
The Existence of Certain Stopping Times on Brownian Motion
On Embedding Right Continuous Martingales in Brownian Motion
On sojourn times, excursions and spectral measures connected with quasidiffusions
Applications de la théorie spectral des cordes vibrantes aux fonctionnelles additives principales d'un brownien réfléchi. (Applications of the spectral theory of vibrating strings to principal additive functionals of a reflected Brownian motion)
Some explicit Krein representations of certain subordinators, including the gamma process
Skorokhod embeddings, minimality and non-centred target distributions
Title not available (Why is that?)
A decomposition of Bessel Bridges
Title not available (Why is that?)
Representation of measures by balayage from a regular recurrent point
A unifying class of Skorokhod embeddings: connecting the Azéma-Yor and Vallois embeddings
Modeling credit risk with partial information.
Proof of the law of iterated logarithm through diffusion equation
A complete characterization of local martingales which are functions of Brownian motion and its maximum
Title not available (Why is that?)
Title not available (Why is that?)
On the distribution of ranked heights of excursions of a Brownian bridge.
Excursions of a \(BES_ o(d)\) and its drift term \((0<d<1)\)
On the distribution of Brownian areas
On the laws of homogeneous functionals of the Brownian bridge
Title not available (Why is that?)
An explicit Skorokhod embedding for the age of Brownian excursions and Azéma martingale.
Some inequalities with local times in zero of a Brownian motion
On constants related to the choice of the local time at \(0\), and the corresponding Itô measure for Bessel processes with dimension \(d=2(1-\alpha), 0<\alpha<1\)
Title not available (Why is that?)
Title not available (Why is that?)
Title not available (Why is that?)
On the Average of a Certain Wiener Functional and a Related Limit Theorem in Calculus of Probability

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
Constructing Self-Similar Martingales via Two Skorokhod Embeddings
Some examples of Skorokhod embeddings obtained from the Azéma-Yor algorithm
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

This page was built for publication: An explicit solution to the Skorokhod embedding problem for functionals of excursions of Markov processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q875905)