On Azéma-Yor processes, their optimal properties and the Bachelier-drawdown equation

DOI10.1214/10-AOP614zbMath1239.60031arXiv0902.1328OpenAlexW3125796373MaRDI QIDQ662437

Nicole El Karoui, Laurent Carraro, Jan Obłój

Publication date: 22 February 2012

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0902.1328

zbMATH Keywords

stochastic orderaverage value-at-riskSkorokhod embedding problemAzéma-Yor processdrawdownBachelier-drawdown equationconcave orderHardy-Littlewood transform

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44)

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