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SHARP NORM INEQUALITIES FOR STOCHASTIC INTEGRALS IN WHICH THE INTEGRATOR IS A NONNEGATIVE SUPERMARTINGALE
Stochastic integral martingale norm inequality differential subordination
2009/9/18
The paper is devoted to sharp inequalities between moments
of nonnegative supermartingales and their strong subordinates. Analogous
estimates hold true for stochastic integrals with respect to a non...
Generalized supermartingale deflators under limited information
Limited information generalized supermartingales boundedness in probability arbitrages Limited information generalized supermartingales boundedness in probability arbitrages
2010/11/1
We undertake a study of markets from the perspective of a financial agent with limited
access to information. The set of wealth processes available to the agent is structured with reason-able economi...