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

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

2005-06-02

arxiv.org/abs/math/0506040v1

Mathematics

Probability

16 pages, 2 figures

Scientific paper

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.

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