A trajectorial interpretation of Doob's martingale inequalities

Abstract

We present a unified approach to Doob's $L^p$ maximal inequalities for $1\le p<\infty$. 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.

Published in at http://dx.doi.org/10.1214/12-AAP878 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)

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