A unifying class of Skorokhod embeddings: connecting the Azéma-Yor and Vallois embeddings
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Publication:880476
DOI10.3150/07-BEJ5071zbMath1148.60063arXivmath/0506040MaRDI QIDQ880476
Alexander Matthew Gordon Cox, David G. Hobson
Publication date: 15 May 2007
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/math/0506040
60J65: Brownian motion
60G40: Stopping times; optimal stopping problems; gambling theory
60G44: Martingales with continuous parameter
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