The joint law of the maximum and terminal value of a martingale (Q1326340): Difference between revisions
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Latest revision as of 15:56, 22 May 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The joint law of the maximum and terminal value of a martingale |
scientific article |
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The joint law of the maximum and terminal value of a martingale (English)
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18 May 1994
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We characterise the possible joint laws of the maximum and terminal value of a uniformly-integrable martingale. We also characterise the joint laws of the maximum and terminal value of a convergent continuous local martingale vanishing at zero. A number of earlier results on the possible laws of the maximum can be deduced quite easily.
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uniformly-integrable martingale
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local martingale
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