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

Simple item page
dc.creatorCox, A. M. G.
dc.creatorHobson, D. G.
dc.date2005-06-02
dc.date.accessioned2026-07-07T05:20:28Z
dc.date.available2026-07-07T05:20:28Z
dc.descriptionIn 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.
dc.description16 pages, 2 figures
dc.identifierhttps://arxiv.org/abs/math/0506040
dc.identifierhttp://arxiv.org/abs/math/0506040
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/75389
dc.subjectProbability
dc.subject60G40, 60J60 (Primary) 60G44, 60J65 (Secondary)
dc.titleA unifying class of Skorokhod embeddings: connecting the Azema-Yor and Vallois embeddings
dc.typetext

Files

Collections

arXiv