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A trajectorial interpretation of Doob's martingale inequalities

Author

Listed:
  • B. Acciaio
  • M. Beiglbock
  • F. Penkner
  • W. Schachermayer
  • J. Temme

Abstract

We present a unified approach to Doob's $L^p$ maximal inequalities for $1\leq p

Suggested Citation

  • B. Acciaio & M. Beiglbock & F. Penkner & W. Schachermayer & J. Temme, 2012. "A trajectorial interpretation of Doob's martingale inequalities," Papers 1202.0447, arXiv.org, revised Jul 2013.
    • Handle: RePEc:arx:papers:1202.0447
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    File URL: http://arxiv.org/pdf/1202.0447
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    References listed on IDEAS

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    1. David Hobson & Martin Klimmek, 2011. "Model independent hedging strategies for variance swaps," Papers 1104.4010, arXiv.org, revised May 2011.
    2. Haydyn Brown & David Hobson & L. C. G. Rogers, 2001. "Robust Hedging of Barrier Options," Mathematical Finance, Wiley Blackwell, vol. 11(3), pages 285-314, July.
    3. Karandikar, Rajeeva L., 1995. "On pathwise stochastic integration," Stochastic Processes and their Applications, Elsevier, vol. 57(1), pages 11-18, May.
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    Cited by:

    1. Guo, Gaoyue & Tan, Xiaolu & Touzi, Nizar, 2017. "Tightness and duality of martingale transport on the Skorokhod space," Stochastic Processes and their Applications, Elsevier, vol. 127(3), pages 927-956.
    2. Prakasa Rao, B.L.S., 2012. "Remarks on maximal inequalities for non-negative demisubmartingales," Statistics & Probability Letters, Elsevier, vol. 82(7), pages 1388-1390.
    3. Pierre Henry-Labordère & Nizar Touzi, 2016. "An explicit martingale version of the one-dimensional Brenier theorem," Finance and Stochastics, Springer, vol. 20(3), pages 635-668, July.
    4. Yan Dolinsky & H. Mete Soner, 2017. "Convex Duality with Transaction Costs," Mathematics of Operations Research, INFORMS, vol. 42(2), pages 448-471, May.
    5. Gaoyue Guo & Xiaolu Tan & Nizar Touzi, 2015. "Tightness and duality of martingale transport on the Skorokhod space," Papers 1507.01125, arXiv.org, revised Aug 2016.
    6. Kreps, David M. & Schachermayer, Walter, 2021. "Asymptotic synthesis of contingent claims with controlled risk in a sequence of discrete-time markets," Theoretical Economics, Econometric Society, vol. 16(1), January.
    7. Pierre Henry-Labordere & Nizar Touzi, 2013. "An Explicit Martingale Version of Brenier's Theorem," Working Papers hal-00790001, HAL.
    8. Beatrice Acciaio & Antonio Marini & Gudmund Pammer, 2023. "Calibration of the Bass Local Volatility model," Papers 2311.14567, arXiv.org.
    9. Dolinsky, Yan & Soner, H. Mete, 2015. "Martingale optimal transport in the Skorokhod space," Stochastic Processes and their Applications, Elsevier, vol. 125(10), pages 3893-3931.
    10. Pierre Henry-Labordere & Nizar Touzi, 2013. "An Explicit Martingale Version of Brenier's Theorem," Papers 1302.4854, arXiv.org, revised Apr 2013.
    11. Yan Dolinsky & H. Soner, 2014. "Robust hedging with proportional transaction costs," Finance and Stochastics, Springer, vol. 18(2), pages 327-347, April.
    12. Beatrice Acciaio & Mathias Beiglbock & Friedrich Penkner & Walter Schachermayer, 2013. "A model-free version of the fundamental theorem of asset pricing and the super-replication theorem," Papers 1301.5568, arXiv.org, revised Mar 2013.
    13. Cox, Alexander M.G. & Obłój, Jan, 2015. "On joint distributions of the maximum, minimum and terminal value of a continuous uniformly integrable martingale," Stochastic Processes and their Applications, Elsevier, vol. 125(8), pages 3280-3300.
    14. Florian Stebegg, 2014. "Model-Independent Pricing of Asian Options via Optimal Martingale Transport," Papers 1412.1429, arXiv.org.

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