In this article we study and classify optimal martingales in the dual formulation of stopping problems. respect distinguish between weakly surely martingales. It is shown that family may be quite large. On other hand it Doob-martingale, is, martingale part Snell envelope, a certain sense robust under particular random perturbation. This new insight leads to novel randomized minimization algorit...

We show that there is a one-to-one correspondence between diffusions and the solutions of the Skorokhod Embedding Problem due to Bertoin and Le-Jan. In particular, the minimal embedding corresponds to a ‘minimal local martingale diffusion’, which is a notion we introduce in this article. Minimality is closely related to the martingale property. A diffusion is minimal if it it minimises the expe...

This paper gives an overview of results and developments in the area of pricing and hedging contingent claims in an incomplete market by means of a quadratic criterion. We first present the approach of risk-minimization in the case where the underlying discounted price process X is a local martingale. We then discuss the extension to local risk-minimization when X is a semimartingale and explai...

Let (Mt )0≤t≤1 be a continuous martingale with initial law M0 ∼ μ0, and terminal law M1 ∼ μ1, and let S = sup0≤t≤1Mt . In this paper we prove that there exists a greatest lower bound with respect to stochastic ordering of probability measures, on the law of S. We give an explicit construction of this bound. Furthermore a martingale is constructed which attains this minimum by solving a Skorokho...

Let (Ω,A, μ) be a Lebesgue space and T : Ω → Ω an ergodic measure preserving automorphism with positive entropy. We show that there is a bounded and strictly stationary martingale difference sequence defined on Ω with a common non-degenerate lattice distribution satisfying the central limit theorem with an arbitrarily slow rate of convergence and not satisfying the local limit theorem. A simila...

Abstract: We use the martingale method to establish concentration inequalities for a class of dependent random sequences on a countable state space, with the constants in the inequalities expressed in terms of certain mixing coefficients. Along the way, we obtain bounds on certain martingale differences associated with the random sequences, which may be of independent interest. As an applicatio...

The coherent risk framework is linked to martingale valuation by adding hedgeinvariance as a fifth axiom, motivated by the concept of consistent hedging. The resulting subclass, called coherent pre-hedge (CoPr) measures, is characterized by a martingale condition on the test set that underlies a coherent measure. It is also made explicit how consistent hedging, optimal as well as non-optimal, t...

Martingale approximation is one of methods of proving limit theorems for stationary random sequences. The method, in its simplest version, consists of representing the original random sequence as the sum of a martingale difference sequence and a coboundary sequence. In this introduction we give a brief sketch of this approach. The aim of the present paper is to extend the martingale approximati...

Abstract: We prove a martingale triangular array generalization of the Chow-BirnbaumMarshall’s inequality. The result is used to derive a strong law of large numbers for martingale triangular arrays whose rows are asymptotically stable in a certain sense. To illustrate, we derive a simple proof, based on martingale arguments, of the consistency of kernel regression with dependent data. Another ...

We consider the Hopfield model of size N and with p ∼ tN patterns, in the whole high temperature (paramagnetic) region. Our result is that the partition function has log-normal fluctuations. It is obtained by extending to the present model the method of the interpolating Brownian Motions used in [10] for the Sherrington-Kirkpatrick model. We view the load t of the memory as a dynamical paramete...