Inequalities for upcrossings of semimartingales via skorohod embedding

DOI10.1007/BF00534951zbMath0525.60058MaRDI QIDQ3038315

Martin T. Barlow

Publication date: 1983

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und verwandte Gebiete (Search for Journal in Brave)

zbMATH Keywords

semimartingalepath decompositionSkorohod embeddingupcrossings

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Martingales with continuous parameter (60G44)

Related Items (2)

The dual optimizer for the growth-optimal portfolio under transaction costs ⋮ A maximal inequality for upcrossings of a continuous martingale

Cites Work

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• Les inegalites de sous-martingales, comme consequences de la relation de domination
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• [https://portal.mardi4nfdi.de/wiki/Publication:4170005 Calcul stochastique d�pendant d'un param�tre]
• On Embedding Right Continuous Martingales in Brownian Motion

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