Some examples of Skorokhod embeddings obtained from the Azéma–Yor algorithm
Author
Abstract
Suggested Citation
DOI: 10.1016/j.spa.2012.09.013
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- 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.
- 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.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- 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.
- Antoine-Marie Bogso, 2020. "Mean Residual Life Processes and Associated Submartingales," Journal of Theoretical Probability, Springer, vol. 33(1), pages 36-64, March.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Whitmeyer, Mark, 2023. "Submission costs in risk-taking contests," Games and Economic Behavior, Elsevier, vol. 142(C), pages 101-112.
- Vicky Henderson & David Hobson & Matthew Zeng, 2023. "Cautious stochastic choice, optimal stopping and deliberate randomization," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 75(3), pages 887-922, April.
- Cox, A. M. G. & Hobson, D. G., 2004. "An optimal Skorokhod embedding for diffusions," Stochastic Processes and their Applications, Elsevier, vol. 111(1), pages 17-39, May.
- Nikeghbali, Ashkan, 2006. "A class of remarkable submartingales," Stochastic Processes and their Applications, Elsevier, vol. 116(6), pages 917-938, June.
- Seel, Christian & Strack, Philipp, 2013.
"Gambling in contests,"
Journal of Economic Theory, Elsevier, vol. 148(5), pages 2033-2048.
- Seel, Christian & Strack, Philipp, 2012. "Gambling in Contests," Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems 375, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich.
- Wang, Jiajie, 2020. "Minimal Root’s embeddings for general starting and target distributions," Stochastic Processes and their Applications, Elsevier, vol. 130(2), pages 521-544.
- Oblój, Jan, 2007. "An explicit solution to the Skorokhod embedding problem for functionals of excursions of Markov processes," Stochastic Processes and their Applications, Elsevier, vol. 117(4), pages 409-431, April.
More about this item
Keywords
Azéma martingale; Azéma–Yor algorithm; Hardy–Littlewood function; Skorokhod embedding;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:spapps:v:123:y:2013:i:2:p:329-346. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.