英文标题：
《Martingale Inequalities and Deterministic Counterparts》
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作者：
Mathias Beiglb\\\"ock, Marcel Nutz
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最新提交年份：
2014
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英文摘要：
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.
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中文摘要：
我们从解析的角度研究了鞅不等式，并证明了一个一般的鞅不等式可以简化为一对在少量变量中的确定性不等式。更精确地说，鞅不等式的最优界由一个包含凹包络的简单非线性算子的不动点确定。我们的结果解释了在稳健套期保值背景下数学金融中出现的某些不平等现象。
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分类信息：

一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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