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

A.P.C. Lim , J.Y. Yen , Marc Yor (1)

1 LPMA - Laboratoire de Probabilités et Modèles Aléatoires

As discussed in Madan and Yor (2002) [10], under certain conditions on a family (H-r, r > 0) of Hardy-Littlewood functions, Markovian Martingales (B-THr) may be constructed. We take advantage of the explicit character of the Azema-Yor (Skorokhod embedding) algorithm, to describe precisely some remarkable and simple examples of these Markovian Martingales.

Domaines: Probabilités [math.PR]

A.P.C. Lim, J.Y. Yen, Marc Yor. Some examples of Skorokhod embeddings obtained from the Azéma-Yor algorithm. Stochastic Processes and their Applications, 2013, 123 (2), pp.329-346. ⟨10.1016/j.spa.2012.09.013⟩. ⟨hal-00825357⟩