Bernoulli

  • Bernoulli
  • Volume 13, Number 1 (2007), 114-130.

A unifying class of Skorokhod embeddings: connecting the Azéma–Yor and Vallois embeddings

A.M.G. Cox and D.G. Hobson

Full-text: Open access

Abstract

We consider the Skorokhod embedding problem in Brownian motion. In particular, we give a solution based on the local time at zero of a variably skewed Brownian motion related to the underlying Brownian motion. Special cases of the construction include the Azéma–Yor and Vallois embeddings. In turn, the construction has an interpretation in the Chacon–Walsh framework.

Article information

Source
Bernoulli Volume 13, Number 1 (2007), 114-130.

Dates
First available in Project Euclid: 30 March 2007

Permanent link to this document
https://projecteuclid.org/euclid.bj/1175287723

Digital Object Identifier
doi:10.3150/07-BEJ5071

Mathematical Reviews number (MathSciNet)
MR2307397

Zentralblatt MATH identifier
1148.60063

Keywords
Azéma–Yor embedding Brownian motion embedding stopping time variably skewed Brownian motion

Citation

Cox, A.M.G.; Hobson, D.G. A unifying class of Skorokhod embeddings: connecting the Azéma–Yor and Vallois embeddings. Bernoulli 13 (2007), no. 1, 114--130. doi:10.3150/07-BEJ5071. https://projecteuclid.org/euclid.bj/1175287723


Export citation