Stochastic and convex orders and lattices of probability measures, with a martingale interpretation

DOI10.1007/BF02808015zbMath0771.60013MaRDI QIDQ1802335

Robert P. Kertz, Uwe Roesler

Publication date: 4 October 1993

Published in: Israel Journal of Mathematics (Search for Journal in Brave)

zbMATH Keywords

stochastic orderconvex orderHardy and Littlewood maximal function

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Probability distributions: general theory (60E05) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (12)

Approximation of martingale couplings on the line in the adapted weak topology ⋮ Orderings of risks: A comparative study via stop-loss transforms ⋮ SAMPLING OF ONE-DIMENSIONAL PROBABILITY MEASURES IN THE CONVEX ORDER AND COMPUTATION OF ROBUST OPTION PRICE BOUNDS ⋮ Sampling of probability measures in the convex order by Wasserstein projection ⋮ On Azéma-Yor processes, their optimal properties and the Bachelier-drawdown equation ⋮ The Joint Law of a Max-Continuous Local Submartingale and Its Maximum ⋮ On distribution-free safe layer-additive pricing ⋮ On Stop-Loss Order and the Distortion Pricing Principle ⋮ Ergodic optimization in dynamical systems ⋮ Optimization and majorization of invariant measures ⋮ On joint distributions of the maximum, minimum and terminal value of a continuous uniformly integrable martingale ⋮ The maximum maximum of a martingale with given \(n\) marginals

Cites Work

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• Martingales with given maxima and terminal distributions
• A converse to the dominated convergence theorem
• On the best order of observation in optimal stopping problems
• On the Distribution of Maxima of Martingale
• The Existence of Probability Measures with Given Marginals
• Convex Analysis

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