The maximum maximum of a martingale with given n marginals
We obtain bounds on the distribution of the maximum of a continuous martingale with fixed marginals at finitely many intermediate times. The bounds are sharp and attained by a solution to n-marginal Skorokhod embedding problem in Obloj and Spoida (2013). It follows that their embedding maximises the...
| Main Authors: | , , , |
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| Format: | Journal article |
| Published: |
2012
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