Some examples of Skorokhod embeddings obtained from the Azéma–Yor algorithm

Adrian P.C. Lim, Ju-Yi Yen and Marc Yor

Stochastic Processes and their Applications, 2013, vol. 123, issue 2, 329-346

Abstract: As discussed in Madan and Yor (2002) [10], under certain conditions on a family (Hr,r>0) of Hardy–Littlewood functions, Markovian Martingales (BTHr) may be constructed. We take advantage of the explicit character of the Azéma–Yor (Skorokhod embedding) algorithm, to describe precisely some remarkable and simple examples of these Markovian Martingales.

Keywords: Azéma martingale; Azéma–Yor algorithm; Hardy–Littlewood function; Skorokhod embedding (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304414912002141
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:123:y:2013:i:2:p:329-346

Ordering information: This journal article can be ordered from
http://http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

DOI: 10.1016/j.spa.2012.09.013

Access Statistics for this article

Stochastic Processes and their Applications is currently edited by T. Mikosch

More articles in Stochastic Processes and their Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().