The maximum maximum of a martingale with given n marginals

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...

पूर्ण विवरण

ग्रंथसूची विवरण
मुख्य लेखकों:	Henry-Labordere, P, Obloj, J, Spoida, P, Touzi, N
स्वरूप:	Journal article
प्रकाशित:	2012

समान संसाधन

A complete characterization of local martingales which are functions of Brownian motion and its maximum
द्वारा: Obloj, J
प्रकाशित: (2005)

Martingale Inequalities, Optimal Martingale Transport, and Robust Superhedging*
द्वारा: Touzi Nizar
प्रकाशित: (2014-09-01)

An iterated Azéma-Yor type embedding for finitely many marginals
द्वारा: Obloj, J, और अन्य
प्रकाशित: (2017)

Geometric martingale Benamou–Brenier transport and geometric Bass martingales
द्वारा: Backhoff, J, और अन्य
प्रकाशित: (2025)

Dual attainment for the martingale transport problem
द्वारा: Beiglboeck, M, और अन्य
प्रकाशित: (2019)

Computational methods for martingale optimal transport problems
द्वारा: Guo, G, और अन्य
प्रकाशित: (2020)

On local martingale and its supremum: harmonic functions and beyond
द्वारा: Obloj, J, और अन्य
प्रकाशित: (2004)

On the Maximum ABS Index of Fixed-Order Trees with a Given Maximum Degree
द्वारा: Venkatesan Maitreyi, और अन्य
प्रकाशित: (2024-08-01)

An explicit Skorokhod embedding for the age of Brownian excursions and Azema martingale
द्वारा: Obloj, J, और अन्य
प्रकाशित: (2004)

Time-Homogeneous Diffusions with a Given Marginal at a Random Time
द्वारा: Cox, A, और अन्य
प्रकाशित: (2009)

The Root solution to the multi-marginal embedding problem: an optimal stopping and time-reversal approach
द्वारा: Cox, A, और अन्य
प्रकाशित: (2018)

The Root solution to the multi-marginal embedding problem: an optimal stopping and time-reversal approach
द्वारा: Cox, A, और अन्य
प्रकाशित: (2015)

Estimation of the maximum end buffer impact force for a given level of reliability
द्वारा: T N Haas, और अन्य
प्रकाशित: (2012-04-01)

The Smallest Harmonic Index of Trees with Given Maximum Degree
द्वारा: Rasi Reza, और अन्य
प्रकाशित: (2018-05-01)

Robust pricing and hedging under trading restrictions and the emergence of local martingale models
द्वारा: Cox, A, और अन्य
प्रकाशित: (2016)

Wiener index in graphs given girth, minimum, and maximum degrees
द्वारा: Fadekemi J. Osaye, और अन्य
प्रकाशित: (2023-01-01)

On the Maximum and Minimum Sizes of a Graph with Given k-Connectivity
द्वारा: Sun Yuefang
प्रकाशित: (2017-08-01)

On Maximum Weight of a Bipartite Graph of Given Order and Size
द्वारा: Horňák Mirko, और अन्य
प्रकाशित: (2013-03-01)

Maximum margin clustering on evolutionary data
द्वारा: Fan, Xuhui, और अन्य
प्रकाशित: (2013)

Recursive Maximum Margin Active Learning
द्वारा: Shilin Gu, और अन्य
प्रकाशित: (2019-01-01)

MAXIMUM MARGIN CLUSTERING OF HYPERSPECTRAL DATA
द्वारा: S. Niazmardi, और अन्य
प्रकाशित: (2013-09-01)

Wiener index in graphs with given minimum degree and maximum degree
द्वारा: Peter Dankelmann, और अन्य
प्रकाशित: (2021-06-01)

Maximum H-index of bipartite network with some given parameters
द्वारा: Shahid Zaman, और अन्य
प्रकाशित: (2021-03-01)

Robust pricing and hedging beyond one marginal
द्वारा: Spoida, P
प्रकाशित: (2014)

A DISTRIBUTION ON TRIPLES WITH MAXIMUM ENTROPY MARGINAL
द्वारा: SERGEY NORIN
प्रकाशित: (2019-01-01)

Conditioned martingales
द्वारा: Perkowski, N, और अन्य
प्रकाशित: (2012)

Maximum Neighborhood Margin Discriminant Projection for Classification
द्वारा: Jianping Gou, और अन्य
प्रकाशित: (2014-01-01)

Maximum Second Zagreb Index Of Trees With Given Roman Domination Number
द्वारा: Ayu Ameliatul Ahmad Jamri, और अन्य
प्रकाशित: (2023-03-01)

On maximum signless Laplacian Estrada index of graphs with given parameters II
द्वारा: Ramin Nasiri, और अन्य
प्रकाशित: (2018-04-01)

Weight martingale-ergodic and ergodic-martingale theorems
द्वारा: Ganiev, Inomjon, और अन्य
प्रकाशित: (2013)

On trees with a given number of segments and their maximum general $ Z $-type index
द्वारा: Hicham Saber, और अन्य
प्रकाशित: (2025-01-01)

Martingale transforms in martingale Hardy spaces with variable exponents
द्वारा: Tao Ma, और अन्य
प्रकाशित: (2024-07-01)

Martingale Transforms between Martingale Hardy-amalgam Spaces
द्वारा: Justice Sam Bansah
प्रकाशित: (2021-01-01)

On the maximum atom-bond sum-connectivity index of unicyclic graphs with given diameter
द्वारा: Zhen Wang, और अन्य
प्रकाशित: (2024-07-01)

Quantum Coherent Three-Terminal Thermoelectrics: Maximum Efficiency at Given Power Output
द्वारा: Robert S. Whitney
प्रकाशित: (2016-05-01)

Improving Adversarial Robustness of CNNs via Maximum Margin
द्वारा: Jiaping Wu, और अन्य
प्रकाशित: (2022-08-01)

Probability with Martingales /
द्वारा: Williams, D. (David), 1938-, author
प्रकाशित: (1991)

Maximum Marginal Approach on EEG Signal Preprocessing for Emotion Detection
द्वारा: Gen Li, और अन्य
प्रकाशित: (2020-10-01)

Convergence of Locally Square Integrable Martingales to a Continuous Local Martingale
द्वारा: Andriy Yurachkivsky
प्रकाशित: (2011-01-01)

Fixed-Order Chemical Trees with Given Segments and Their Maximum Multiplicative Sum Zagreb Index
द्वारा: Akbar Ali, और अन्य
प्रकाशित: (2024-04-01)