Acciaio, B., Beigelböck, M., Penkner, F., Schachermayer, W. and Temme, J.
A trajectorial interpretation of Doob's martingale inequalities.
Annals of Applied Probability, 23
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.
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