Martingale Inequalities for the Maximum via Pathwise Arguments
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Publication:2798582
DOI10.1007/978-3-319-18585-9_11zbMath1336.60083arXiv1409.6255OpenAlexW1513667034MaRDI QIDQ2798582
Nizar Touzi, Jan Obłój, Peter Spoida
Publication date: 13 April 2016
Published in: Lecture Notes in Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1409.6255
Extreme value theory; extremal stochastic processes (60G70) Martingales with continuous parameter (60G44)
Related Items (10)
Monotone martingale transport plans and Skorokhod embedding ⋮ The geometry of multi-marginal Skorokhod embedding ⋮ Dual attainment for the martingale transport problem ⋮ Supermartingale shadow couplings: the decreasing case ⋮ Martingale Benamou-Brenier: a probabilistic perspective ⋮ The root solution to the multi-marginal embedding problem: an optimal stopping and time-reversal approach ⋮ On pathwise counterparts of Doob's maximal inequalities ⋮ A construction of the left-curtain coupling ⋮ The maximum maximum of a martingale with given \(n\) marginals ⋮ Optimal transport and Skorokhod embedding
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