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February 2007 A unifying class of Skorokhod embeddings: connecting the Azéma–Yor and Vallois embeddings
A.M.G. Cox, D.G. Hobson
Bernoulli 13(1): 114-130 (February 2007). DOI: 10.3150/07-BEJ5071

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.

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A.M.G. Cox. D.G. Hobson. "A unifying class of Skorokhod embeddings: connecting the Azéma–Yor and Vallois embeddings." Bernoulli 13 (1) 114 - 130, February 2007. https://doi.org/10.3150/07-BEJ5071

Information

Published: February 2007
First available in Project Euclid: 30 March 2007

zbMATH: 1148.60063
MathSciNet: MR2307397
Digital Object Identifier: 10.3150/07-BEJ5071

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

Rights: Copyright © 2007 Bernoulli Society for Mathematical Statistics and Probability

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Vol.13 • No. 1 • February 2007
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