@article{SPS_1998__32__250_0, author = {Hobson, David G.}, title = {The maximum maximum of a martingale}, journal = {S\'eminaire de probabilit\'es de Strasbourg}, pages = {250--263}, publisher = {Springer - Lecture Notes in Mathematics}, volume = {32}, year = {1998}, mrnumber = {1655298}, zbl = {0935.60028}, language = {en}, url = {http://archive.numdam.org/item/SPS_1998__32__250_0/} }
Hobson, David G. The maximum maximum of a martingale. Séminaire de probabilités de Strasbourg, Volume 32 (1998), pp. 250-263. http://archive.numdam.org/item/SPS_1998__32__250_0/
[1] Sur l'integrabilité uniforme des martingales continues, Séminaire de Probabilités, XIV, 53-61, 1980. | Numdam | MR | Zbl
, AND ;[2] Une solution simple au problème de Skorokhod, Séminaire de Probabilités, XIII, 90-115, 1979. | Numdam | MR | Zbl
AND ;[3] Representation of measures by balayage from a regular recurrent point, Annals of Probability, 20, 538-548, 1992. | MR | Zbl
AND ;[4] A Converse to the Dominated Convergence Theorem, Illinois Journal of Mathematics, 7, 508-514, 1963. | MR | Zbl
AND ;[5] One-dimensional potential embedding, Séminaire de Probabilités, X, 19-23, 1976. | Numdam | MR | Zbl
AND ;[6] On a theorem of Skorokhod, Annals of Mathematical Statistics, 39, 2094-2097, 1968. | MR | Zbl
;[7] On the distribution of maxima of martingales, Proceedings of the American Mathematical Society, 68, 337-338, 1978. | MR | Zbl
AND ;[8] Robust hedging of the lookback option, To appear in Finance and Stochastics, 1998. | Zbl
;[9] Martingales with given maxima and terminal distributions, Israel J. Math., 69, 173-192, 1990. | MR | Zbl
AND ;[10] Probability and Potentials, Blaidsell, Waltham, Mass., 1966. | MR | Zbl
;[11] The Cereteli-Davis solution to the H1-embedding problem and an optimal embedding in Brownian motion, Seminar on Stochastic Processes, 1985, Birkhauser, Boston, 173-223, 1986. | MR | Zbl
;[12] Williams' characterisation of the Brownian excursion law: proof and applications, Séminaire de Probabilités, XV, 227-250, 1981. | EuDML | Numdam | MR | Zbl
;[13] A guided tour through excursions, Bull. London Math. Soc., 21, 305-341, 1989. | MR | Zbl
;[14] The joint law of the maximum and the terminal value of a martingale, Prob. Th. Rel. Fields, 95, 451-466, 1993. | MR | Zbl
;[15]
; Personal communication.[16] The existence of probability measures with given marginals, Ann. Math. Statist., 36, 423-439, 1965. | MR | Zbl
;[17] Sur la loi du maximum et du temps local d'une martingale continue uniformément intégrable, Proc. London Math. Soc., 3, 399-427, 1994. | MR | Zbl
;