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math.PR2015★ 15 cited
Root to Kellerer
Mathias Beiglböck, Martin Huesmann, Florian Stebegg
We revisit Kellerer's Theorem, that is, we show that for a family of real probability distributions which increases in convex order there exists a Markov marti…
math.PR2015
The Sharp Constant for the Burkholder-Davis-Gundy Inequality and Non-Smooth Pasting
Walter Schachermayer, Florian Stebegg
We revisit the celebrated family of BDG-inequalities introduced by Burkholder, Gundy \cite{BuGu70} and Davis \cite{Da70} for continuous martingales. For the inequalities $\mathbb{E…