Pathwise inequalities for local time: Applications to Skorokhod embeddings and optimal stopping

A. M. G. Cox, David Hobson, Jan Obłój

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 concr…