The maximum maximum of a martingale with given \(n\) marginals

DOI10.1214/14-AAP1084zbMath1337.60078arXiv1203.6877OpenAlexW3098180202MaRDI QIDQ259564

Peter Spoida, Jan Obłój, Pierre Henry-Labordère, Nizar Touzi

Publication date: 11 March 2016

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

Full work available at URL: https://arxiv.org/abs/1203.6877

zbMATH Keywords

optimal controlmartingaleshedgingoptimal transportationlookback optionmaximum processpathwise inequalitiesrobust pricingvolatility uncertainty

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Optimal stochastic control (93E20) Martingales with continuous parameter (60G44) Diffusion processes (60J60) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Existence of optimal solutions to problems involving randomness (49J55)

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