2 papers
math.PR2005
An explicit Skorokhod embedding for functionals of Markovian excursions
Jan Obloj
We develop an explicit non-randomized solution to the Skorokhod embedding problem in an abstract setup of signed functionals of Markovian excursions. Our setting allows to solve th…
math.PR2004
On local martingale and its supremum: harmonic functions and beyond
Jan Obloj, Marc Yor
We discuss certain facts involving a continuous local martingale and its supremum . A complete characterization of -harmonic functions is proposed. This y…