Some examples of Skorokhod embeddings obtained from the Azéma-Yor algorithm

DOI10.1016/J.SPA.2012.09.013zbMath1258.60032OpenAlexW1970730084MaRDI QIDQ1933590

Ju-Yi Yen, Marc Yor, Adrian P. C. Lim

Publication date: 24 January 2013

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

Full work available at URL: https://doi.org/10.1016/j.spa.2012.09.013

zbMATH Keywords

Azéma martingaleSkorokhod embeddingHardy-Littlewood functionAzéma-Yor algorithm

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Martingales and classical analysis (60G46)

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