AbstractAs 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
Abstract. We develop a martingale-based decomposition for a general class of quadratic forms of Mark...
The classical Skorokhod embedding problem for a Brownian motion W asks to find a stopping time τ so ...
[[abstract]]We derive a moment inequality for the Skorohod representation theorem and apply it to ob...
With the help of two Skorokhod embeddings, we construct martingales which enjoy the Brownian scaling...
We develop an explicit non-randomized solution to the Skorokhod embedding problem in an abstract set...
PARIS-BIUSJ-Thèses (751052125) / SudocPARIS-BIUSJ-Physique recherche (751052113) / SudocSudocFranceF
We discuss a new strategy to solve the Skorokhod problem which is generic in the sense that it can b...
AbstractLet hn be the (probabilists’) Hermite polynomial of degree n. Let Hn(z,a)=an/2hn(z/a) and Hn...
We solve the n-marginal Skorokhod embedding problem for a continuous local martingale and a sequence...
AbstractWe develop an explicit non-randomized solution to the Skorokhod embedding problem in an abst...
We consider here an n-marginal Skorokhod embedding problem (SEP). We construct an explicit solution ...
AbstractA general methodology allowing to solve the Skorokhod stopping problem for positive function...
A general methodology allowing to solve the Skorokhod stopping problem for positive functionals of B...
Abstract. The Skorokhod embedding problem is to represent a given probability as the distribution of...
We study the class of Az\'ema-Yor processes defined from a general semimartingale with a continuous ...
Abstract. We develop a martingale-based decomposition for a general class of quadratic forms of Mark...
The classical Skorokhod embedding problem for a Brownian motion W asks to find a stopping time τ so ...
[[abstract]]We derive a moment inequality for the Skorohod representation theorem and apply it to ob...
With the help of two Skorokhod embeddings, we construct martingales which enjoy the Brownian scaling...
We develop an explicit non-randomized solution to the Skorokhod embedding problem in an abstract set...
PARIS-BIUSJ-Thèses (751052125) / SudocPARIS-BIUSJ-Physique recherche (751052113) / SudocSudocFranceF
We discuss a new strategy to solve the Skorokhod problem which is generic in the sense that it can b...
AbstractLet hn be the (probabilists’) Hermite polynomial of degree n. Let Hn(z,a)=an/2hn(z/a) and Hn...
We solve the n-marginal Skorokhod embedding problem for a continuous local martingale and a sequence...
AbstractWe develop an explicit non-randomized solution to the Skorokhod embedding problem in an abst...
We consider here an n-marginal Skorokhod embedding problem (SEP). We construct an explicit solution ...
AbstractA general methodology allowing to solve the Skorokhod stopping problem for positive function...
A general methodology allowing to solve the Skorokhod stopping problem for positive functionals of B...
Abstract. The Skorokhod embedding problem is to represent a given probability as the distribution of...
We study the class of Az\'ema-Yor processes defined from a general semimartingale with a continuous ...
Abstract. We develop a martingale-based decomposition for a general class of quadratic forms of Mark...
The classical Skorokhod embedding problem for a Brownian motion W asks to find a stopping time τ so ...
[[abstract]]We derive a moment inequality for the Skorohod representation theorem and apply it to ob...
DOI
Add to ORKG