A complete characterization of local martingales which are functions of Brownian motion and its maximum

DOI10.3150/bj/1165269146zbMath1130.60050arXivmath/0504462OpenAlexW2953290461MaRDI QIDQ2642799

Jan Obłój

Publication date: 5 September 2007

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0504462

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Martingales with continuous parameter (60G44) Stochastic integrals (60H05)

Related Items (6)

An explicit solution to the Skorokhod embedding problem for functionals of excursions of Markov processes ⋮ The functional Meyer–Tanaka formula ⋮ Penalisation of a stable Lévy process involving its one-sided supremum ⋮ On Azéma-Yor processes, their optimal properties and the Bachelier-drawdown equation ⋮ Robust pricing and hedging of double no-touch options ⋮ Pathwise inequalities for local time: Applications to Skorokhod embeddings and optimal stopping

Cites Work

• The Skorokhod embedding problem and its offspring
• Limiting laws associated with Brownian motion perturbed by its maximum, minimum and local time, II
• Sur l'etude des martingales continues extrêmales
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