A trajectorial interpretation of Doob's martingale inequalities
We present a unified approach to Doob's $L^p$ maximal inequalities for $1\leq p
|Date of creation:||Feb 2012|
|Date of revision:||Jul 2013|
|Publication status:||Published in Annals of Applied Probability 2013, Vol. 23, No. 4, 1494-1505|
|Contact details of provider:|| Web page: http://arxiv.org/|
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- Haydyn Brown & David Hobson & L. C. G. Rogers, 2001. "Robust Hedging of Barrier Options," Mathematical Finance, Wiley Blackwell, vol. 11(3), pages 285-314.
- Karandikar, Rajeeva L., 1995. "On pathwise stochastic integration," Stochastic Processes and their Applications, Elsevier, vol. 57(1), pages 11-18, May.
- David Hobson & Martin Klimmek, 2011. "Model independent hedging strategies for variance swaps," Papers 1104.4010, arXiv.org, revised May 2011.
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