A trajectorial interpretation of Doob's martingale inequalities

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

Preview

PDF - Accepted Version Download (449kB) | Preview

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
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:	06 Nov 2024 21:33
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

Actions (login required)

View Item