most citedA unifying class of Skorokhod embeddings: connecting the Azema-Yor and Vallois embeddings

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math.PR2005★ 1 cited

A unifying class of Skorokhod embeddings: connecting the Azema-Yor and Vallois embeddings

A. M. G. Cox, D. G. Hobson

In this paper we consider the Skorokhod embedding problem in Brownian motion. In particular, we give a solution based on the local time at zero of a variably skewed Brownian motion…