scientific article; zbMATH DE number 3690384

MaRDI QIDQ3884898zbMATH OpenFDO

Authors Jacques Azema, Marc Yor, R. Gundy

Publication date 1980

Full work available at URL http://www.numdam.org/item?id=SPS_1980__14__53_0, https://eudml.org/doc/113311

zbMATH Keywords

local martingaleuniform integrability

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44)

Cited in

(15)

• The joint law of the maximum and terminal value of a martingale
• Strict local martingales: examples
• Pathwise superhedging for time-dependent barrier options on càdlàg paths -- finite or infinite tradeable European, one-touch, lookback or forward starting options
• Two explicit Skorokhod embeddings for simple symmetric random walk
• The submartingale property and Liouville type theorems
• Weak tail conditions for local martingales
• The tail estimation of the quadratic variation of a quasi left continuous local martingale
• Martingale inequalities for the maximum via pathwise arguments
• Constructing Self-Similar Martingales via Two Skorokhod Embeddings
• Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs
• (Semi-) martingale inequalities and local times
• Implied volatility in strict local martingale models
• The stochastic solution to a Cauchy problem for degenerate parabolic equations
• The Kolmogorov Inequality for the Maximum of the Sum of Random Variables and Its Martingale Analogues
• Pathwise inequalities for local time: Applications to Skorokhod embeddings and optimal stopping

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