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

Reference:

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

Related documents:

Preview

PDF (VarSkewEmbed_Bernoulli_Final-1.pdf) - Requires a PDF viewer such as GSview, Xpdf or Adobe Acrobat Reader Download (245kB) | Preview

Official URL:

http://dx.doi.org/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.

Export

Actions (login required)