We consider the Skorokhod embedding problem in Brownian motion. In particular, we give a solution based on the local time at zero of a variably skewed Brownian motion related to the underlying Brownian motion. Special cases of the construction include the Azéma–Yor and Vallois embeddings. In turn, the construction has an interpretation in the Chacon–Walsh framework.
Publié le : 2007-02-14
Classification:
Azéma–Yor embedding,
Brownian motion,
embedding,
stopping time,
variably skewed,
Brownian motion
@article{1175287723,
author = {Cox, A.M.G. and Hobson, D.G.},
title = {A unifying class of Skorokhod embeddings: connecting the Az\'ema--Yor and Vallois embeddings},
journal = {Bernoulli},
volume = {13},
number = {1},
year = {2007},
pages = { 114-130},
language = {en},
url = {http://dml.mathdoc.fr/item/1175287723}
}
Cox, A.M.G.; Hobson, D.G. A unifying class of Skorokhod embeddings: connecting the Azéma–Yor and Vallois embeddings. Bernoulli, Tome 13 (2007) no. 1, pp. 114-130. http://gdmltest.u-ga.fr/item/1175287723/