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A Unifying Class Of Skorokhod Embeddings Connecting The Azema-yor And Vallois Embeddings

Cox A. M. G., Hobson D. G.. Arxiv 2005

[Paper]    
ARXIV Independent

In this paper we consider the Skorokhod embedding problem in Brownian motion. In particular, we give a solution based on the local time at zero of a variably skewed Brownian motion related to the underlying Brownian motion. Special cases of the construction include the Azema-Yor and Vallois embeddings. In turn, the construction has an interpretation in the Chacon-Walsh framework.

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