XVII: 26, 227-239, LNM 986 (1983)
VALLOIS, Pierre
Le problème de Skorokhod sur $\bf R$ : une approche avec le temps local (
Brownian motion)
A solution to Skorohod's embedding problem is given, using the first hiting time of a set by the 2-dimensional process which consists of Brownian motion and its local time at zero. The author's aim is to ``correct'' the asymmetry inherent to the Azéma-Yor construction
Comment: A general survey on the Skorohod embedding problem is Ob\lój,
Probab. Surv. 1, 2004
Keywords: Skorohod imbedding,
Local timesNature: Original
Retrieve article from Numdam
XXVI: 26, 361-373, LNM 1526 (1992)
VALLOIS, Pierre
Amplitude et juxtaposition des excursions positives et négatives pour le mouvement brownien Retrieve article from Numdam
XXVIII: 05, 73-91, LNM 1583 (1994)
VALLOIS, Pierre
Orthogonalité et uniforme intégrabilité de martingales. Étude d'une classe d'exemples Retrieve article from Numdam
XXXIX: 15, 305-336, LNM 1874 (2006)
ROYNETTE, Bernard;
VALLOIS, Pierre;
YOR, Marc
Pénalisations et quelques extensions du théorème de Pitman, relatives au mouvement brownien et à son maximum unilatère
XL: 07, 147-185, LNM 1899 (2007)
RUSSO, Francesco;
VALLOIS, Pierre
Elements of stochastic calculus via regularization
XLIII: 10, 241-268, LNM 2006 (2011)
BÉRARD BERGERY, Blandine;
VALLOIS, Pierre
Convergence at first and second order of some approximations of stochastic integrals (
Theory of Brownian motion,
Theory of stochastic integrals)
Keywords: Stochastic integration by regularization,
Quadratic variation,
First and second order convergence,
Stochastic Fubini's theoremNature: Original
