- Abstract:
-
We develop an explicit non-randomized solution to the Skorokhod embedding problem in an abstract setup of signed functionals of excursions of Markov processes. Our setting allows us to solve the Skorokhod embedding problem, in particular, for the age process of excursions of a Markov process, for diffusions and their signed age processes, for Azéma's martingale and for Bessel processes of dimension smaller than 2. This work is a continuation and an important generalization of Obłój and Yor [J...
Expand abstract - Publication status:
- Published
- Publisher copy:
- 10.1016/j.spa.2006.08.005
-
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- Journal:
- STOCHASTIC PROCESSES AND THEIR APPLICATIONS
- Volume:
- 117
- Issue:
- 4
- Pages:
- 409-431
- Publication date:
- 2007-04-05
- DOI:
- ISSN:
-
0304-4149
- URN:
-
uuid:0377f5cf-4ae9-4ce5-99b0-afc296c13282
- Source identifiers:
-
188207
- Local pid:
- pubs:188207
- Copyright date:
- 2007
Journal article
An explicit solution to the Skorokhod embedding problem for functionals of excursions of Markov processes
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