On joint distributions of the maximum, minimum and terminal value of a continuous uniformly integrable martingale (Q2347466)
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scientific article; zbMATH DE number 6440583
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| English | On joint distributions of the maximum, minimum and terminal value of a continuous uniformly integrable martingale |
scientific article; zbMATH DE number 6440583 |
Statements
On joint distributions of the maximum, minimum and terminal value of a continuous uniformly integrable martingale (English)
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27 May 2015
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continuous martingales
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maximum, minimum
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terminal value
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double-exit probabilities
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Skorokhod embedding problem
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martingale inequalities
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0.91338754
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0.91303647
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0.90309745
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0.8931681
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