The Emperor, Adrian heard about this family and summoned them to Rome. Sophia knew why and what was going to happen to them. She prepared her daughters.
Once in Rome, they were questioned and found to be Christians. The little girls were promised fame and fortune and their lives, if they renounced Jesus Christ. They didn't and were martyred. They were tortured and beheaded in front of their mother, Sophia. The mother buried her three daughters and she, herself, died soon after.
Love was the last to be martyred. But that's not why Love is greatest. It's because it is lasting. When you die, you don't need Faith because you are looking at God, Himself. You certainly don't have to have Hope because you made it to heaven. What's last? Love--right in front of you.