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Martingale Inequalities and Deterministic Counterparts by Beiglböck, Mathias; Nutz, Marcel is a scholarly article available to read on EtoBox.

What is Martingale Inequalities and Deterministic Counterparts about?

We study martingale inequalities from an analytic point of view and show that a general martingale inequality can be reduced to a pair of deterministic inequalities in a small number of variables. More precisely, the optimal bound in the martingale inequality is determined by a fixed point of a simple nonlinear operator involving a concave envelope. Our results yield an explanation for certain inequalities that arise in mathematical finance in the context of robust hedging.

Author

Beiglböck, Mathias; Nutz, Marcel

Published

2014

Language

EN