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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
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    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.

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    Bibliographic Info

    Article provided by Elsevier in its journal Stochastic Processes and their Applications.

    Volume (Year): 123 (2013)
    Issue (Month): 2 ()
    Pages: 329-346

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    Handle: RePEc:eee:spapps:v:123:y:2013:i:2:p:329-346

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    Related research

    Keywords: Azéma martingale; Azéma–Yor algorithm; Hardy–Littlewood function; Skorokhod embedding;

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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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