The joint law of the maximum and terminal value of a martingale
- Cite this article as:
- Rogers, L.C.G. Probab. Th. Rel. Fields (1993) 95: 451. doi:10.1007/BF01196729
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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.