ON THE JOINT LAWS OF MAXIMUM AND TERMINAL VALUE OF SOME CONTINUOUS SUBMARTINGALES

Authors
VALLOIS P
Citation
P. Vallois, ON THE JOINT LAWS OF MAXIMUM AND TERMINAL VALUE OF SOME CONTINUOUS SUBMARTINGALES, Comptes rendus de l'Academie des sciences. Serie 1, Mathematique, 317(7), 1993, pp. 693-696
Citations number
11
Categorie Soggetti
Mathematics, General",Mathematics
Journal title
Comptes rendus de l'Academie des sciences. Serie 1, Mathematique → ACNP
ISSN journal
07644442
Volume
317
Issue
7
Year of publication
1993
Pages
693 - 696
Database
ISI
SICI code
0764-4442(1993)317:7<693:OTJLOM>2.0.ZU;2-1
Abstract
We characterize the joint laws of (X(infinity)BAR, X(infinity)) (resp. the laws of X(infinity)BAR), X running over the set of positive, cont inuous and uniformly integrable submartingales X vanishing at 0, where X(infinity)BAR = max X(t). t greater-than-or-equal-to 0