An explicit Skorokhod embedding for the age of Brownian excursions and Azema martingale
A general methodology allowing to solve the Skorokhod stopping problem for positive functionals of Brownian excursions, with the help of Brownian local time, is developed. The stopping times we consider have the following form: Tμ=inf{t>0: Ft≥μF(Lt)}. As an application, the Skorokhod embeddin...
| Main Authors: | , |
|---|---|
| Format: | Journal article |
| Language: | English |
| Published: |
2004
|