Martingales with given maxima and terminal distributions

DOI10.1007/BF02937303zbMath0743.60046MaRDI QIDQ1813671

Robert P. Kertz, Uwe Roesler

Publication date: 25 June 1992

Published in: Israel Journal of Mathematics (Search for Journal in Brave)

zbMATH Keywords

stochastic orderexplicit martingale constructionssharp martingale and `prophet' inequalities

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Martingales with continuous parameter (60G44)

Related Items (15)

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Cites Work

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• Stop Rule Inequalities for Uniformly Bounded Sequences of Random Variables
• A maximal inequality for skew fields
• An extended Fatou equation and continuous-time gambling
• Semiamarts and finite values
• On the Distribution of Maxima of Martingale
• The Existence of Probability Measures with Given Marginals

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