A unifying class of Skorokhod embeddings: connecting the Azema-Yor and Vallois embeddings

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,... Show more