Doob's inequalities revisited: A maximal H1-embedding

An embedding of an arbitrary centred law [mu] in a Brownian motion (that is a stopping time T and a Brownian motion B such that (Bt)=[mu] and (Bt[Lambda]T; t[greater-or-equal, slanted]0) is found such that B*T has a law which dominates that of M*[tau], where the pair (M, [tau]) is any other ui embedding of [mu] in a martingale.

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Year of publication:	1988
Authors:	Jacka, S. D.
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 29.1988, 2, p. 281-290
Publisher:	Elsevier
Keywords:	Brownian motion martingale Doobss inequalities embedding H1-embedding

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008874405