The maximum maximum of a martingale

DOI10.1007/BFB0101762MaRDI QIDQ4213425zbMATH OpenFDO

Authors David Hobson

Publication date 25 April 2000

Published in Lecture Notes in Mathematics (Search for Journal in Brave)

Full work available at URL http://www.numdam.org/item?id=SPS_1998__32__250_0, https://eudml.org/doc/113988

zbMATH Keywords

Hardy-Littlewood maximal measuremartingalemaximum of a martingalestochastic order

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44)

Review text

Let \(\mu_0\) be the initial distribution, \(\mu_1\) be the final distribution of a martingale and \(\nu\) be the distribution of the maximum. They satisfy in stochastic order \(\mu_0\vee\mu_1\preceq \nu\preceq \mu_1^*,\) where \(\mu_1^*\) is the Hardy-Littlewood maximal measure of \(\mu_1.\) A reverse holds true in case \(\mu_0\) is a point measure. The author gives an explicit and constructive description of the supremum of possible \(\nu\) in stochastic order for given initial \(\mu_0\) and terminal distribution \(\mu_1\). For the entire collection see [Zbl 0893.00035].

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