Sur La Loi Du Maximum Et Du Temps Local D'Une Martingale Continue Uniformement Integrable
From MaRDI portal
Publication:4308605
DOI10.1112/plms/s3-69.2.399zbMath0807.60041OpenAlexW1970439087MaRDI QIDQ4308605
Publication date: 9 October 1994
Published in: Proceedings of the London Mathematical Society (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1112/plms/s3-69.2.399
Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Martingales and classical analysis (60G46) Local time and additive functionals (60J55)
Related Items
A class of remarkable submartingales, Maximizing functionals of the maximum in the Skorokhod embedding problem and an application to variance swaps, Single jump filtrations and local martingales, 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