Some examples of Skorokhod embeddings obtained from the Azéma–Yor algorithm

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.