Martingale inequalities and deterministic counterparts

DOI10.1214/EJP.v19-3270zbMath1307.60044arXiv1401.4698MaRDI QIDQ2514287

Marcel Nutz, Mathias Beiglböck

Publication date: 3 February 2015

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1401.4698

zbMATH Keywords

fixed pointrobust hedgingconcave envelopemartingale inequality

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Financial applications of other theories (91G80)

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