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