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The joint law of the maximum and terminal value of a martingale
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  • Published: December 1993

The joint law of the maximum and terminal value of a martingale

  • L. C. G. Rogers1 

Probability Theory and Related Fields volume 95, pages 451–466 (1993)Cite this article

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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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References

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Authors and Affiliations

  1. School of Mathematical Sciences, Queen Mary & Westfield College, Mile End Road, E1 4NS, London, UK

    L. C. G. Rogers

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  1. L. C. G. Rogers
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Rogers, L.C.G. The joint law of the maximum and terminal value of a martingale. Probab. Th. Rel. Fields 95, 451–466 (1993). https://doi.org/10.1007/BF01196729

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  • Received: 30 March 1992

  • Revised: 12 October 1992

  • Issue Date: December 1993

  • DOI: https://doi.org/10.1007/BF01196729

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Mathematics Subject Classification (1991)

  • 60G44
  • 60J65
  • 60G55
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