Lim, Adrian P.C.; Yen, Ju-Yi; Yor, Marc - In: Stochastic Processes and their Applications 123 (2013) 2, pp. 329-346
As discussed in Madan and Yor (2002) [10], under certain conditions on a family (Hr,r0) 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...
