The Azéma-Yor embedding in non-singular diffusions.

DOI10.1016/S0304-4149(01)00120-XzbMath1059.60058OpenAlexW2127022538MaRDI QIDQ1766021

Goran Peskir, Jesper Lund Pedersen

Publication date: 25 February 2005

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4149(01)00120-x

zbMATH Keywords

Skorokhod embedding problemAzéma-Yor embeddingnon-singular diffusion

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60)

Related Items (12)

Embedding laws in diffusions by functions of time ⋮ Gambling in contests ⋮ Cautious stochastic choice, optimal stopping and deliberate randomization ⋮ Submission costs in risk-taking contests ⋮ The Skorokhod embedding problem for inhomogeneous diffusions ⋮ An optimal Skorokhod embedding for diffusions ⋮ Skorokhod embeddings, minimality and non-centred target distributions ⋮ Minimal Root's embeddings for general starting and target distributions ⋮ Processes That Can Be Embedded in a Geometric Brownian Motion ⋮ Stopping with expectation constraints: 3 points suffice ⋮ Optimal stopping of the maximum process: a converse to the results of Peskir ⋮ Finite, integrable and bounded time embeddings for diffusions

Cites Work

• Representation of measures by balayage from a regular recurrent point
• Robust hedging of the lookback option
• The joint law of the maximum and terminal value of a martingale
• Designing options given the risk: The optimal Skorokhod-embedding problem
• Embedding in Brownian motion with drift and the Azéma-Yor construction
• The stopping distributions of a Markov process
• The maximum maximum of a martingale constrained by an intermediate law
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