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

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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.
16 pages, 2 figures

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Probability, 60G40, 60J60 (Primary) 60G44, 60J65 (Secondary)

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http://salesiana.dossiersoluciones.com/handle/123456789/75389

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/math/0506040
 http://arxiv.org/abs/math/0506040

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arXiv