کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
10527323 | 958817 | 2015 | 21 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
On joint distributions of the maximum, minimum and terminal value of a continuous uniformly integrable martingale
ترجمه فارسی عنوان
در توزیع های مشترک از حداکثر، حداقل و ارزش ترمینال مارتینال یکپارچه پیوسته است
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات (عمومی)
چکیده انگلیسی
We study the joint laws of the maximum and minimum of a continuous, uniformly integrable martingale. In particular, we give explicit martingale inequalities which provide upper and lower bounds on the joint exit probabilities of a martingale, given its terminal law. Moreover, by constructing explicit and novel solutions to the Skorokhod embedding problem, we show that these bounds are tight. Together with previous results of Azéma & Yor, Perkins, Jacka and Cox & ObÅój, this allows us to completely characterise the upper and lower bounds on all possible exit/no-exit probabilities, subject to a given terminal law of the martingale. In addition, we determine some further properties of these bounds, considered as functions of the maximum and minimum.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 125, Issue 8, August 2015, Pages 3280-3300
Journal: Stochastic Processes and their Applications - Volume 125, Issue 8, August 2015, Pages 3280-3300
نویسندگان
Alexander M.G. Cox, Jan ObÅój,