The joint law of a max-continuous local submartingale and its maximum

DOI10.1137/S0040585X97T990113MaRDI QIDQ5150155zbMATH OpenFDO

Authors A. A. Gushchin

Publication date 9 February 2021

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/S0040585X97T990113

zbMATH Keywords

local max-level martingalelocal submartingalemax-continuous random processrunning maximum of processsingle jump processesSkorokhod embedding problemtime-change

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Extreme value theory; extremal stochastic processes (60G70)

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Cited in

(6)

• A trivariate version of Lévy's equivalence
• On the denseness of the subset of discrete distributions in a certain set of two-dimensional distributions
• Single jump filtrations and local martingales
• A complete characterization of local martingales which are functions of Brownian motion and its maximum
• The joint law of the extrema, final value and signature of a stopped random walk
• Characterization of max-continuous local martingales vanishing at infinity

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