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.
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.
|Item Type ||Articles|
|Creators||Cox, A. M. G.and Hobson, D. G.|
|Departments||Faculty of Science > Mathematical Sciences|
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