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ISSN: 1083-589X ELECTRONIC COMMUNICATIONS in PROBABILITY Illustration of various methods for solving partly Skorokhod’s embedding problem ∗

By Ju-yi Yen and Marc Yor


We show that excursion theory and Azéma’s exponential result allow to solve partly Skorokhod’s embedding problem

Topics: Azéma exponential result, excursion, Skorokhod embedding
Year: 2013
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