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

Ju-Yi Yen (University of Cincinnati)
Marc Yor (Institut Universitaire de France & Université Pierre et Marie Curie - Paris 6)

Abstract


We show that excursion theory and Az\'ema's exponential result allow to solve partly Skorokhod's embedding problem.

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Pages: 1-5

Publication Date: June 22, 2013

DOI: 10.1214/ECP.v18-2178

References

  • Azéma, Jacques. Quelques applications de la théorie générale des processus. I. (French) Invent. Math. 18 (1972), 293--336. MR0326848
  • Azéma, Jacques; Yor, Marc. Une solution simple au problème de Skorokhod. (French) Séminaire de Probabilités, XIII (Univ. Strasbourg, Strasbourg, 1977/78), pp. 90--115, Lecture Notes in Math., 721, Springer, Berlin, 1979. MR0544782
  • Revuz, Daniel; Yor, Marc. Continuous martingales and Brownian motion. Third edition. Grundlehren der Mathematischen Wissenschaften [Fundamental Principles of Mathematical Sciences], 293. Springer-Verlag, Berlin, 1999. xiv+602 pp. ISBN: 3-540-64325-7 MR1725357
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