An explicit solution to the Skorokhod embedding problem for functionals of excursions of Markov processes

DOI10.1016/j.spa.2006.08.005zbMath1119.60031OpenAlexW2027972900MaRDI QIDQ875905

Jan Obłój

Publication date: 16 April 2007

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

Full work available at URL: https://doi.org/10.1016/j.spa.2006.08.005

zbMATH Keywords

Bessel processSkorokhod embedding problemCox-Ingersoll-Ross processAge processAzema-Yor stopping timeExcursion theoryFunctional of excursionVallois stopping time

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44)

Related Items (1)

On an explicit Skorokhod embedding for spectrally negative Lévy processes

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