A unifying class of Skorokhod embeddings: connecting the Azema-Yor and Vallois embeddings

A. M. G. Cox; D. G. Hobson

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A unifying class of Skorokhod embeddings: connecting the Azema-Yor and Vallois embeddings

A. M. G. Cox·D. G. Hobson

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Abstract

In this paper 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 Azema-Yor and Vallois embeddings. In turn, the construction has an interpretation in the Chacon-Walsh framework.

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BibTeX RIS

A. M. G. Cox, D. G. Hobson. 2005-06-02. A unifying class of Skorokhod embeddings: connecting the Azema-Yor and Vallois embeddings. https://arxiv.org/abs/math/0506040

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