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The Skorokhod Embedding (SE) Method

  • Francis Hirsch
  • Christophe Profeta
  • Bernard Roynette
  • Marc Yor
Part of the B&SS — Bocconi & Springer Series book series (BS)

Abstract

Several Skorokhod embeddings — which are presented in a table in the introduction of this chapter — allow to associate martingales to certain peacocks.

Keywords

Brownian Motion Positive Measure Dirac Measure Unique Pair Bessel Process 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag Italia 2011

Authors and Affiliations

  • Francis Hirsch
    • 1
  • Christophe Profeta
    • 2
  • Bernard Roynette
    • 2
  • Marc Yor
    • 3
    • 4
  1. 1.Laboratoire d’Analyse et ProbabilitésUniversité d’Évry-Val d’EssonneFrance
  2. 2.Institut Élie CartanUniversité Henri PoincaréNancy
  3. 3.Laboratoire de Probabilités et Modèles AléatoiresUniversité Pierre et Marie CurieParis
  4. 4.Institut Universitaire de FranceFrance

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