48 citations · 48 across the 2 of their papers we have counts for
2 papers
math.PR2024
Geometric Martingale Benamou-Brenier transport and geometric Bass martingales
Julio Backhoff, Gregoire Loeper, Jan Obloj
We introduce and study geometric Bass martingales. Bass martingales were introduced in \cite{Ba83} and studied recently in a series of works, including \cite{BaBeHuKa20,BaBeScTs23}…
math.PR2012★ 48 cited
The maximum maximum of a martingale with given marginals
Pierre Henry-Labordère, Jan Obłój, Peter Spoida +1
We obtain bounds on the distribution of the maximum of a martingale with fixed marginals at finitely many intermediate times. The bounds are sharp and attained by a solution to …