259 citations · 342 across the 34 of their papers we have counts for
Showing 2004Show all
3 papers · 1 filter
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…
math.PR2004
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…
math.PR2004★ 259 cited
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…