On the denseness of the subset of discrete distributions in a certain set of two-dimensional distributions

DOI10.15559/22-VMSTA204zbMath1504.60068OpenAlexW4220922489MaRDI QIDQ2172943

Alexander A. Gushchin, Dmitriy A. Borzykh

Publication date: 19 September 2022

Published in: Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.15559/22-vmsta204

zbMATH Keywords

Doob-Meyer decompositionincreasing processcompensatordense set of distributionsterminal joint distribution

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44)

Cites Work

• Stochastic finance. An introduction in discrete time.
• The joint law of the maximum and terminal value of a martingale
• Discretisation and duality of optimal Skorokhod embedding problems
• Single jump filtrations and local martingales
• The Joint Law of a Max-Continuous Local Submartingale and Its Maximum
• The Joint Law of Terminal Values of a Nonnegative Submartingale and Its Compensator
• Heavy-Tail Phenomena

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