The joint law of the maximum and terminal value of a martingale (Q1326340)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: The joint law of the maximum and terminal value of a martingale |
scientific article; zbMATH DE number 569073
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The joint law of the maximum and terminal value of a martingale |
scientific article; zbMATH DE number 569073 |
Statements
The joint law of the maximum and terminal value of a martingale (English)
0 references
18 May 1994
0 references
We characterise the possible joint laws of the maximum and terminal value of a uniformly-integrable martingale. We also characterise the joint laws of the maximum and terminal value of a convergent continuous local martingale vanishing at zero. A number of earlier results on the possible laws of the maximum can be deduced quite easily.
0 references
uniformly-integrable martingale
0 references
local martingale
0 references
