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The joint law of the maximum and terminal value of a martingale · Study

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ArticleThe joint law of the maximum and terminal value of a martingale

L. C. G. Rogers1993

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Articlebronze1993

The joint law of the maximum and terminal value of a martingale

L. C. G. Rogers

46 citations·0/0 files stored·Probability Theory and Related Fields

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Stochastic processes and financial applications Probability and Statistical Research Probability and Risk Models

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References

1986The Cereteli-Davis Solution to the H1-Embedding Problem and an Optimal Embedding in Brownian Motion

Cited by

2007An Excursion-Theoretical Approach to Some Boundary Crossing Problems and the Skorokhod Embedding for Reflected Lévy Processes 2006A class of remarkable submartingales 2001The maximum maximum of a martingale constrained by an intermediate law 2015Pathwise versions of the Burkholder–Davis–Gundy inequality 1998The maximum maximum of a martingale 2017Pathwise superreplication via Vovk’s outer measure 2006On Local Martingale and its Supremum: Harmonic Functions and beyond 2001The Azéma–Yor embedding in non-singular diffusions

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2002The minimum maximum of a continuous martingale with given initial and terminal lawsarticle · 1 shared reference 2005Skorokhod embeddings, minimality and non-centred target distributionsarticle · 1 shared reference 1998The maximum maximum of a martingalechapter · 1 shared reference 2001The Azéma–Yor embedding in non-singular diffusionsarticle · 1 shared reference 2008Extending Chacon-Walsh: Minimality and Generalised Starting Distributionschapter · 1 shared reference 1988Doob's inequalities revisited: A maximal H1-embeddingarticle · 1 shared reference

Details

Year1993

Typearticle

Published1993-12-01

VenueProbability Theory and Related Fields

ISSN-L0178-8051

Languageen

Citations46

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/bf01196729

openalex_workW1969284136

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