The Joint Law of a Max-Continuous Local Submartingale and Its Maximum

DOI10.1137/S0040585X97T990113zbMath1469.60128MaRDI QIDQ5150155

Alexander A. Gushchin

Publication date: 9 February 2021

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

zbMATH Keywords

time-changeSkorokhod embedding problemsingle jump processeslocal submartingalelocal max-level martingalemax-continuous random processrunning maximum of process

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Martingales with continuous parameter (60G44)

Related Items (2)

On the denseness of the subset of discrete distributions in a certain set of two-dimensional distributions ⋮ Single jump filtrations and local martingales

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