On the Distribution of Maxima of Martingale
From MaRDI portal
Publication:4121254
DOI10.2307/2043117zbMath0351.60049MaRDI QIDQ4121254
Publication date: 1978
Published in: Proceedings of the American Mathematical Society (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/2043117
Related Items
Sharp Lorentz-norm estimates for dyadic-like maximal operators, The Joint Law of a Max-Continuous Local Submartingale and Its Maximum, The Joint Law of Terminal Values of a Nonnegative Submartingale and Its Compensator, Sharp Maximal Inequalities for Conditionally Symmetric Martingales and Brownian Motion, The maximum maximum of a martingale with given \(n\) marginals, A trajectorial interpretation of Doob's martingale inequalities, Weak characterizations of stochastic integrability and Dudley's theorem in infinite dimensions, A diffusion-type process with a given joint law for the terminal level and supremum at an independent exponential time, Correlation and the pricing of risks, Model-independent hedging strategies for variance swaps, Upper bounds for superquantiles of martingales, Prophet regions and sharp inequalities for pth absolute moments of martingales, On the ratio of the expected maximum of a martingale and the \(L_ p\)- norm of its last term, Some inequalities with local times in zero of a Brownian motion, On distribution-free safe layer-additive pricing, The joint law of the maximum and terminal value of a martingale, Stochastic and convex orders and lattices of probability measures, with a martingale interpretation, Martingales with given maxima and terminal distributions, The minimum maximum of a continuous martingale with given initial and terminal laws, About Doob's inequality, entropy and Tchebichef, The geometry of multi-marginal Skorokhod embedding, Single jump filtrations and local martingales, On joint distributions of the maximum, minimum and terminal value of a continuous uniformly integrable martingale, On the adjustment coefficient, drawdowns and Lundberg-type bounds for random walk, Skorokhod embeddings, minimality and non-centred target distributions, Martingale Inequalities for the Maximum via Pathwise Arguments