The maximum maximum of a martingale with given \(n\) marginals (Q259564): Difference between revisions

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Latest revision as of 08:54, 30 July 2024

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The maximum maximum of a martingale with given \(n\) marginals
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    The maximum maximum of a martingale with given \(n\) marginals (English)
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    11 March 2016
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    maximum process
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    martingales
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    robust pricing
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    hedging
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    volatility uncertainty
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    optimal transportation
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    optimal control
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    pathwise inequalities
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    lookback option
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