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The joint law of the maximum and terminal value of a martingale
1 references·8 citing·33 second hop
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this work references cited by second hop

References

  • 1986The Cereteli-Davis Solution to the H1-Embedding Problem and an Optimal Embedding in Brownian Motion50 cited

Cited by

  • 2007An Excursion-Theoretical Approach to Some Boundary Crossing Problems and the Skorokhod Embedding for Reflected Lévy Processes48 cited
  • 2006A class of remarkable submartingales44 cited
  • 2001The maximum maximum of a martingale constrained by an intermediate law42 cited
  • 2015Pathwise versions of the Burkholder–Davis–Gundy inequality39 cited
  • 1998The maximum maximum of a martingale33 cited
  • 2017Pathwise superreplication via Vovk’s outer measure32 cited
  • 2006On Local Martingale and its Supremum: Harmonic Functions and beyond26 cited
  • 2001The Azéma–Yor embedding in non-singular diffusions25 cited

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