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

DOI10.1007/BF02808015zbMATH Open0771.60013MaRDI QIDQ1802335FDOQ1802335

Uwe Rösler, Robert P. Kertz

Publication date: 4 October 1993

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

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zbMATH Keywords

convex orderstochastic orderHardy and Littlewood maximal function

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• Convex Analysis
• Martingales with given maxima and terminal distributions
• A converse to the dominated convergence theorem
• Title not available (Why is that?)
• On the Distribution of Maxima of Martingale
• The Existence of Probability Measures with Given Marginals
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• On the best order of observation in optimal stopping problems

Cited In (13)

• Ergodic optimization in dynamical systems
• The maximum maximum of a martingale with given \(n\) marginals
• On joint distributions of the maximum, minimum and terminal value of a continuous uniformly integrable martingale
• On distribution-free safe layer-additive pricing
• The Joint Law of a Max-Continuous Local Submartingale and Its Maximum
• On Azéma-Yor processes, their optimal properties and the Bachelier-drawdown equation
• Approximation of martingale couplings on the line in the adapted weak topology
• Complete lattices of probability measures with applications to martingale theory
• Sampling of probability measures in the convex order by Wasserstein projection
• 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
• Optimization and majorization of invariant measures
• On Stop-Loss Order and the Distortion Pricing Principle

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