A unifying class of Skorokhod embeddings: connecting the Azéma–Yor and Vallois embeddings

Alexander M G Cox, D G Hobson

Research output: Contribution to journalArticlepeer-review

5 Citations (Scopus)
146 Downloads (Pure)

Abstract

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.
Original languageEnglish
Pages (from-to)114-130
Number of pages17
JournalBernoulli
Volume13
Issue number1
DOIs
Publication statusPublished - 2007

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