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 |
| 本文献已被 SpringerLink 等数据库收录！ |
|
