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

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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Year of publication:	2013
Authors:	Lim, Adrian P.C. ; Yen, Ju-Yi ; Yor, Marc
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 123.2013, 2, p. 329-346
Publisher:	Elsevier
Subject:	Azéma martingale \| Azéma–Yor algorithm \| Hardy–Littlewood function \| Skorokhod embedding

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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