Generalization of Doob's Inequality and A Tighter Estimate on Look-back Option Price

Jian Sun

Papers from arXiv.org

Abstract: In this short note, we will strengthen the classic Doob's $L^p$ inequality for sub-martingale processes. Because this inequality is of fundamental importance to the theory of stochastic process, we believe this generalization will find many interesting applications.

Date: 2018-07, Revised 2018-07
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1807.02243

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