Upper bounds for superquantiles of martingales

DOI10.5802/crmath.207zbMath1475.60047OpenAlexW4287327457MaRDI QIDQ822309

Emmanuel Rio

Publication date: 22 September 2021

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.5802/crmath.207

zbMATH Keywords

martingalevalue-at-riskquantileconditional value-at-risk

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15)

Cites Work

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• A converse to the dominated convergence theorem
• Sharp Martingale and Semimartingale Inequalities
• On the Distribution of Maxima of Martingale
• Concentration Inequalities for Sums and Martingales

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