Seminar Event Detail

Financial/Actuarial Mathematics

Date:  Thursday, October 04, 2018
Location:  1360 East Hall (4:00 PM to 5:00 PM)

Title:  Van Eenam Lecture 3: A Trajectorial Interpretation of Doob's Martingale Inequalities.

Abstract:   We present a unified approach to Doob's Lp maximal inequalities for 1 \leq p < 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's maximal inequalities. These are best possible in the sense that equality is attained by properly chosen martingales.


Speaker:  Walter Schachermayer
Institution:  University of Vienna

Event Organizer:     


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