科研之友
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摘要
We present a unified approach to Doob%26apos;s L-p maximal inequalities for 1 %26lt;= p %26lt; infinity. The novelty of our method is that these martingale inequalities are obtained as consequences of elementary deterministic counterparts. The latter have a natural interpretation in terms of robust hedging. Moreover, our deterministic inequalities lead to new versions of Doob%26apos;s maximal inequalities. These are best possible in the sense that equality is attained by properly chosen martingales.
- 出版日期2013-8
