Some examples of Skorokhod embeddings obtained from the Azéma–Yor algorithm-Reference-Cited by-同舟云学术

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

Published:2013-02 Issue:2 Volume:123 Page:329-346
ISSN:0304-4149
Container-title:Stochastic Processes and their Applications
language:en
Short-container-title:Stochastic Processes and their Applications

Author:

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

Funder

NSF

Publisher

Elsevier BV

Subject

Applied Mathematics,Modeling and Simulation,Statistics and Probability

Reference23 articles.

1. Une solution simple au problème de Skorokhod (denoted as [AY] throughout the text);Azéma,1979

2. Étude d’une martingale remarquable;Azéma,1989

3. Le problème de Skorokhod: compléments à “Une solution simple au problème de Skorokhod”;Azéma,1979

4. Skorokhod imbedding via stochastic integrals;Bass,1983

5. A unifying class of Skorokhod embeddings: connecting the Azéma–Yor and Vallois embeddings;Cox;Bernoulli,2007

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2. MRL order, log-concavity and an application to peacocks;Stochastic Processes and their Applications;2015-04

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