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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
as

File URL: http://arxiv.org/pdf/1202.0447

## References listed on IDEAS

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1. Haydyn Brown & David Hobson & L. C. G. Rogers, 2001. "Robust Hedging of Barrier Options," Mathematical Finance, Wiley Blackwell, vol. 11(3), pages 285-314.
2. David Hobson & Martin Klimmek, 2011. "Model independent hedging strategies for variance swaps," Papers 1104.4010, arXiv.org, revised May 2011.
3. Karandikar, Rajeeva L., 1995. "On pathwise stochastic integration," Stochastic Processes and their Applications, Elsevier, vol. 57(1), pages 11-18, May.
Full references (including those not matched with items on IDEAS)

## Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
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Cited by:

1. Pierre Henry-Labordere & Nizar Touzi, 2013. "An Explicit Martingale Version of Brenier's Theorem," Working Papers hal-00790001, HAL.
2. 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.
3. 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.
4. 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.
5. Florian Stebegg, 2014. "Model-Independent Pricing of Asian Options via Optimal Martingale Transport," Papers 1412.1429, arXiv.org.
6. Prakasa Rao, B.L.S., 2012. "Remarks on maximal inequalities for non-negative demisubmartingales," Statistics & Probability Letters, Elsevier, vol. 82(7), pages 1388-1390.
7. 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.
8. 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.
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.

### NEP fields

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