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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…
math.PR2003
Skorokhod embeddings, minimality and non-centred target distributions
Alexander Cox, David Hobson
In this paper we consider the Skorokhod embedding problem for target distributions with non-zero mean. In the zero-mean case, uniform integrability provides a natural restriction o…
math.PR2002★ 1 cited
An Optimal Skorokhod Embedding for Diffusions
A. M. G. Cox, D. G. Hobson
Given a Brownian motion and a general target law (not necessarily centered or even integrable) we show how to construct an embedding of in . This embedding is an e…