An explicit Skorokhod embedding for the age of Brownian excursions and Azéma martingale

Stochastic Processes and their Applications

Volumn 110, Issue 1, 2004, Pages 83-110

  Obłój, Jan ^a,b   Yor, Marc ^a  

^a SORBONNE UNIVERSITÉ   (France)

^b UNIVERSITY OF WARSAW   (Poland)

Author keywords

Age of Brownian excursions; Az ma martingale; Functionals of Brownian excursions; Skorokhod embedding problem

Indexed keywords

EID: 0742289208     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spa.2003.10.006     Document Type: Article

References (27)

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