A unifying class of Skorokhod embeddings: connecting the Azéma-Yor and Vallois embeddings
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Publication:880476
DOI10.3150/07-BEJ5071zbMath1148.60063arXivmath/0506040OpenAlexW1991890893MaRDI QIDQ880476
Alexander Matthew Gordon Cox, David G. Hobson
Publication date: 15 May 2007
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/math/0506040
Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44)
Related Items (6)
An explicit solution to the Skorokhod embedding problem for functionals of excursions of Markov processes ⋮ Shadows and barriers ⋮ A Dubins type solution to the Skorokhod embedding problem ⋮ Pathwise inequalities for local time: Applications to Skorokhod embeddings and optimal stopping ⋮ Embedding of Walsh Brownian motion ⋮ A free boundary characterisation of the root barrier for Markov processes
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