Illustration of various methods for solving partly Skorokhod's embedding problem

DOI10.1214/ECP.V18-2178zbMath1326.60056OpenAlexW2020439991MaRDI QIDQ743015

Marc Yor, Ju-Yi Yen

Publication date: 22 September 2014

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/ecp.v18-2178

zbMATH Keywords

Brownian motionstopping timeexcursionAzéma exponential resultSkorokhod's embedding problem

Mathematics Subject Classification ID

Brownian motion (60J65) Generalizations of martingales (60G48) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales and classical analysis (60G46)

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