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

Alexander M G Cox; D G Hobson

doi:10.3150/07-BEJ5071

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

Alexander M G Cox, D G Hobson

Department of Mathematical Sciences

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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 language	English
Pages (from-to)	114-130
Number of pages	17
Journal	Bernoulli
Volume	13
Issue number	1
DOIs	https://doi.org/10.3150/07-BEJ5071
Publication status	Published - 2007

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title = "A unifying class of Skorokhod embeddings: connecting the Az{\'e}ma–Yor and Vallois embeddings",

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 Az{\'e}ma–Yor and Vallois embeddings. In turn, the construction has an interpretation in the Chacon–Walsh framework.",

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AB - 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.

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UR - http://dx.doi.org/10.3150/07-BEJ5071

UR - https://www.scopus.com/pages/publications/47249132403

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DO - 10.3150/07-BEJ5071

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

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