Constructing Self-Similar Martingales via Two Skorokhod Embeddings

DOI10.1007/978-3-642-15217-7_21zbMath1234.60047OpenAlexW4294379671MaRDI QIDQ3086813

Marc Yor, Francis Hirsch, Bernard Roynette, Christophe Profeta

Publication date: 30 March 2011

Published in: Séminaire de Probabilités XLIII (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-15217-7_21

zbMATH Keywords

Schauder fixed point theoremconvex orderSkorokhod embeddingsAzéma-Yor embedding algorithmHardy-Littlewood functionsKaramata's representation theoremself-similar martingales

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Brownian motion (60J65) Martingales with continuous parameter (60G44) Self-similar stochastic processes (60G18)

Related Items (3)

Maximizing functionals of the maximum in the Skorokhod embedding problem and an application to variance swaps ⋮ Optimal stopping and the sufficiency of randomized threshold strategies ⋮ An explicit martingale version of the one-dimensional Brenier's theorem with full marginals constraint

Cites Work

• Peacocks and associated martingales, with explicit constructions
• Making Markov martingales meet marginals: With explicit constructions
• On fake Brownian motions
• The Skorokhod embedding problem and its offspring
• A family of non-Gaussian martingales with Gaussian marginals
• A continuous non-Brownian motion martingale with Brownian motion marginal distributions
• Markov-Komposition und eine Anwendung auf Martingale. (Markov compositions and an application to martingales)
• A Sequence of Albin Type Continuous Martingales with Brownian Marginals and Scaling
• Exercises in Probability
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Constructing Self-Similar Martingales via Two Skorokhod Embeddings