| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1155606 | Stochastic Processes and their Applications | 2013 | 18 Pages |
Abstract
As discussed in Madan and Yor (2002) [10], under certain conditions on a family (Hr,r>0) of Hardy-Littlewood functions, Markovian Martingales (BTHr) may be constructed. We take advantage of the explicit character of the Azéma-Yor (Skorokhod embedding) algorithm, to describe precisely some remarkable and simple examples of these Markovian Martingales.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Adrian P.C. Lim, Ju-Yi Yen, Marc Yor,