A trajectorial interpretation of Doob's martingale inequalities

DOI10.1214/12-AAP878zbMath1274.60136arXiv1202.0447MaRDI QIDQ363856

Mathias Beiglböck, Friedrich Penkner, Beatrice Acciaio, Walter Schachermayer, Johannes P. Temme

Publication date: 5 September 2013

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1202.0447

zbMATH Keywords

Doob maximal inequalitiesmartingale inequalitiespathwise hedging

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)

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