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The joint law of the maximum and terminal value of a martingale
Authors:L. C. G. Rogers
Affiliation:(1) School of Mathematical Sciences, Queen Mary & Westfield College, Mile End Road, E1 4NS London, UK
Abstract:Summary In this paper, 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.
Keywords:60G44  60J65  60G55
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