Pathwise inequalities for local time: Applications to Skorokhod embeddings and optimal stopping

DOI10.1214/07-AAP507zbMath1165.60020arXivmath/0702173OpenAlexW3105471026MaRDI QIDQ957523

Jan Obłój, David G. Hobson, Alexander Matthew Gordon Cox

Publication date: 27 November 2008

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

Full work available at URL: https://arxiv.org/abs/math/0702173

zbMATH Keywords

optimal stoppingstochastic differential equationslocal timeSkorokhod embedding problemrobust pricing and hedgingvallois stopping time

Mathematics Subject Classification ID

Related Items (30)

Some results on Skorokhod embedding and robust hedging with local time ⋮ An explicit martingale version of the one-dimensional Brenier theorem ⋮ Martingale Inequalities, Optimal Martingale Transport, and Robust Superhedging ⋮ From optimal stopping boundaries to Rost's reversed barriers and the Skorokhod embedding ⋮ Pathwise superreplication via Vovk's outer measure ⋮ Model-Independent Bounds for Asian Options: A Dynamic Programming Approach ⋮ Supermartingale Brenier's theorem with full-marginals constraint ⋮ Root's barrier: construction, optimality and applications to variance options ⋮ Three-dimensional Brownian motion and the golden ratio rule ⋮ A capped optimal stopping problem for the maximum process ⋮ A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options ⋮ Martingale optimal transport and robust hedging in continuous time ⋮ Quickest detection of a hidden target and extremal surfaces ⋮ The root solution to the multi-marginal embedding problem: an optimal stopping and time-reversal approach ⋮ Robust pricing and hedging of double no-touch options ⋮ Robust hedging of options on a leveraged exchange traded fund ⋮ Watermark options ⋮ Tightness and duality of martingale transport on the Skorokhod space ⋮ \(\pi \) options ⋮ Embedding of Walsh Brownian motion ⋮ Martingale Inequalities for the Maximum via Pathwise Arguments ⋮ A MODEL-FREE VERSION OF THE FUNDAMENTAL THEOREM OF ASSET PRICING AND THE SUPER-REPLICATION THEOREM ⋮ An explicit martingale version of the one-dimensional Brenier's theorem with full marginals constraint ⋮ Processes That Can Be Embedded in a Geometric Brownian Motion ⋮ Optimal Skorokhod Embedding Under Finitely Many Marginal Constraints ⋮ On the Monotonicity Principle of Optimal Skorokhod Embedding Problem ⋮ On an explicit Skorokhod embedding for spectrally negative Lévy processes ⋮ Stopping with expectation constraints: 3 points suffice ⋮ Pathwise versions of the Burkholder-Davis-Gundy inequality ⋮ The maximum maximum of a martingale with given \(n\) marginals

Cites Work

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• An explicit Skorokhod embedding for the age of Brownian excursions and Azéma martingale.
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• Robust Hedging of Barrier Options
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