Martingale Inequalities and Deterministic Counterparts

Mathias Beiglb\"ock and Marcel Nutz

Papers from arXiv.org

Abstract: 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.

Date: 2014-01, Revised 2014-10
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Citations: View citations in EconPapers (8)

Published in Electronic Journal of Probability, Vol. 19, No. 95, pp. 1-15, 2014

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1401.4698

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