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

DOI10.1007/BF01196729zbMath0794.60042MaRDI QIDQ1326340

L. C. G. Rogers

Publication date: 18 May 1994

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

zbMATH Keywords

local martingale; uniformly-integrable martingale

Mathematics Subject Classification ID

60J65: Brownian motion

60G44: Martingales with continuous parameter

60G55: Point processes (e.g., Poisson, Cox, Hawkes processes)

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Cites Work

• Martingales with given maxima and terminal distributions
• A converse to the dominated convergence theorem
• On the Distribution of Maxima of Martingale
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