259 citations · 259 across the 4 of their papers we have counts for
5 papers · 1 filter
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…
A complete characterization of local martingales which are functions of Brownian motion and its maximum
Jan Obloj
We prove the max-martingale conjecture given in recent article with Marc Yor. We show that for a continuous local martingale and a function , $H(N\…
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…
The maximality principle revisited: on certain optimal stopping problems
Jan Obloj
We investigate the optimal stopping problems involving the supremum of a diffusion. The starting point is the link between works of Peskir and Meilijson, which we describe in a uni…
The Skorokhod embedding problem and its offspring
Jan Obloj
This is a survey about the Skorokhod embedding problem. It presents all known solutions together with their properties and some applications. Some of the solutions are just describ…