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math.PR2014
The joint law of the extrema, final value and signature of a stopped random walk
Moritz Duembgen, L. C. G. Rogers
A complete characterization of the possible joint distributions of the maximum and terminal value of uniformly integrable martingale has been known for some time, and the aim of th…
q-fin.PM2014
Investing and Stopping
Moritz Duembgen, L. C. G. Rogers
In this paper we solve the hedge fund manager's optimization problem in a model that allows for investors to enter and leave the fund over time depending on its performance. The ma…