The Joint Law of a Max-Continuous Local Submartingale and Its Maximum
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Publication:5150155
DOI10.1137/S0040585X97T990113zbMath1469.60128MaRDI QIDQ5150155
Publication date: 9 February 2021
Published in: Theory of Probability & Its Applications (Search for Journal in Brave)
time-changeSkorokhod embedding problemsingle jump processeslocal submartingalelocal max-level martingalemax-continuous random processrunning maximum of process
Extreme value theory; extremal stochastic processes (60G70) Martingales with continuous parameter (60G44)
Related Items (2)
On the denseness of the subset of discrete distributions in a certain set of two-dimensional distributions ⋮ Single jump filtrations and local martingales
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