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On Local Martingale and its Supremum: Harmonic Functions and beyond · Study

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ChapterOn Local Martingale and its Supremum: Harmonic Functions and beyond

Jan K. Obloj2006

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Chaptergreen2006

On Local Martingale and its Supremum: Harmonic Functions and beyond

Jan K. Obloj · Marc Yor

26 citations·0/0 files stored·Springer eBooks

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Stochastic processes and financial applications Probability and Statistical Research Nonlinear Partial Differential Equations

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References

1999Continuous Martingales and Brownian Motion 1973Martingale inequalities: seminar notes on recent progress 2004The Skorokhod embedding problem and its offspring 1993The Russian Option: Reduced Regret 2004The Skorokhod embedding problem and its offspring 1994Optimal Stopping Rules and Maximal Inequalities for Bessel Processes 1977Formulas for Stopped Diffusion Processes with Stopping Times Based on the Maximum 1993The joint law of the maximum and terminal value of a martingale

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2012On Azéma–Yor processes, their optimal properties and the Bachelier–drawdown equation 2009On Az\'ema-Yor processes, their optimal properties and the Bachelier-drawdown equation 2007The Maximality Principle Revisited: On Certain Optimal Stopping Problems

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Year2006

Typechapter

Published2006-01-01

VenueSpringer eBooks

Languageen

Citations26

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/978-3-540-30788-4_25

openalex_workW1671673283

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