On joint distributions of the maximum, minimum and terminal value of a continuous uniformly integrable martingale

DOI10.1016/j.spa.2015.03.005zbMath1328.60109arXiv1406.0885OpenAlexW2138593760MaRDI QIDQ2347466

Jan Obłój, Alexander Matthew Gordon Cox

Publication date: 27 May 2015

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1406.0885

zbMATH Keywords

terminal valueSkorokhod embedding problemmartingale inequalitiescontinuous martingalesdouble-exit probabilitiesmaximum, minimum

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44)

Related Items (6)

Supermartingale Brenier's theorem with full-marginals constraint ⋮ Pathwise superhedging for time-dependent barrier options on càdlàg paths -- finite or infinite tradeable European, one-touch, lookback or forward starting options ⋮ On pathwise counterparts of Doob's maximal inequalities ⋮ The Joint Law of a Max-Continuous Local Submartingale and Its Maximum ⋮ An explicit martingale version of the one-dimensional Brenier's theorem with full marginals constraint ⋮ The Joint Law of Terminal Values of a Nonnegative Submartingale and Its Compensator

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