Acciaio, B., Beigelböck, M., Penkner, F., Schachermayer, W. and Temme, J. (2013) A trajectorial interpretation of Doob's martingale inequalities. Annals of Applied Probability, 23 (4). pp. 1494-1505. ISSN 1050-5164
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Identification Number: 10.1214/12-AAP878
Abstract
We present a unified approach to Doob’s Lp maximal inequalities for 1 ≤ p < 1. The novelty of our method is that these martingale inequalities are obtained as consequences of elementary deterministic counterparts. The latter have a natural interpretation in terms of robust hedging. Moreover our deterministic inequalities lead to new versions of Doob’s maximal inequalities. These are best possible in the sense that equality is attained by properly chosen martingales.
| Item Type: | Article |
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| Official URL: | http://www.imstat.org/aap |
| Additional Information: | © 2013 Institute of Mathematical Statistics |
| Divisions: | Statistics |
| Subjects: | Q Science > QA Mathematics |
| Date Deposited: | 27 Jun 2013 15:26 |
| Last Modified: | 12 Dec 2024 00:23 |
| Projects: | FA506041, MA09-003, p21209 |
| Funders: | European Research Council, Vienna Science & Technology Fund, Austrian Science Fund |
| URI: | http://eprints.lse.ac.uk/id/eprint/50116 |
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