Pathwise inequalities for local time: Applications to Skorokhod embeddings and optimal stopping
We develop a class of pathwise inequalities of the form $H(B_t)\ge M_t+F(L_t)$, where $B_t$ is Brownian motion, $L_t$ its local time at zero and $M_t$ a local martingale. The concrete nature of the representation makes the inequality useful for a variety of applications. In this work, we use the ine...
| Main Authors: | , , |
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| Format: | Journal article |
| Language: | English |
| Published: |
2007
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