THE JOINT LAW OF THE MAXIMUM AND TERMINAL VALUE OF A MARTINGALE

Authors
ROGERS LCG
Citation
Lcg. Rogers, THE JOINT LAW OF THE MAXIMUM AND TERMINAL VALUE OF A MARTINGALE, Probability theory and related fields, 95(4), 1993, pp. 451-466
Citations number
10
Categorie Soggetti
Statistic & Probability","Statistic & Probability
Journal title
Probability theory and related fields → ACNP
ISSN journal
01788051
Volume
95
Issue
4
Year of publication
1993
Pages
451 - 466
Database
ISI
SICI code
0178-8051(1993)95:4<451:TJLOTM>2.0.ZU;2-M
Abstract
In this paper, we characterise the possible joint laws of the maximum and terminal value of a uniformly-integrable martingale. We also chara cterise the joint laws of the maximum and terminal value of a converge nt continuous local martingale vanishing at zero. A number of earlier results on the possible laws of the maximum can be deduced quite easil y.