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Illustration of various methods for solving partly Skorokhod’s embedding problem. (English) Zbl 1326.60056
Summary: We show that excursion theory and J. Azéma’s exponential result [Invent. Math. 18, 293–336 (1972; Zbl 0268.60068)] allow to solve partly Skorokhod’s embedding problem.
MSC:
60G40 Stopping times; optimal stopping problems; gambling theory
60J65 Brownian motion
60G46 Martingales and classical analysis
60G48 Generalizations of martingales
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