An explicit solution to the Skorokhod embedding problem for functionals of excursions of Markov processes
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- Umut Çetin & Robert Jarrow & Philip Protter & Yildiray Yildirim, 2008.
"Modeling Credit Risk With Partial Information,"
World Scientific Book Chapters,in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 23, pages 579-590
World Scientific Publishing Co. Pte. Ltd..
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KeywordsSkorokhod embedding problem Excursion theory Functional of excursion Azema-Yor stopping time Vallois stopping time Azema martingale Age process Bessel process Cox-Ingersoll-Ross process;
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