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

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

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.

Suggested Citation

  • Lim, Adrian P.C. & Yen, Ju-Yi & Yor, Marc, 2013. "Some examples of Skorokhod embeddings obtained from the Azéma–Yor algorithm," Stochastic Processes and their Applications, Elsevier, vol. 123(2), pages 329-346.
    • Handle: RePEc:eee:spapps:v:123:y:2013:i:2:p:329-346
    DOI: 10.1016/j.spa.2012.09.013
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    References listed on IDEAS

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    1. Pedersen, J. L. & Peskir, G., 2001. "The Azéma-Yor embedding in non-singular diffusions," Stochastic Processes and their Applications, Elsevier, vol. 96(2), pages 305-312, December.
    2. Oblój, Jan & Yor, Marc, 2004. "An explicit Skorokhod embedding for the age of Brownian excursions and Azéma martingale," Stochastic Processes and their Applications, Elsevier, vol. 110(1), pages 83-110, March.
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    Cited by:

    1. Antoine-Marie Bogso, 2020. "Mean Residual Life Processes and Associated Submartingales," Journal of Theoretical Probability, Springer, vol. 33(1), pages 36-64, March.
    2. Bogso, Antoine Marie, 2015. "MRL order, log-concavity and an application to peacocks," Stochastic Processes and their Applications, Elsevier, vol. 125(4), pages 1282-1306.

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