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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.

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    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.

    Details

    Item Type Articles
    CreatorsCox, A. M. G.and Hobson, D. G.
    DOI10.3150/07-BEJ5071
    DepartmentsFaculty of Science > Mathematical Sciences
    RefereedYes
    StatusPublished
    ID Code30252

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