Upper bounds for superquantiles of martingales

Rio, Emmanuel

Comptes Rendus. Mathématique, Tome 359 (2021) no. 7, pp. 813-822.

Let ${\left(M_n\right)}_n$ be a discrete martingale in $L^p$ for $p$ in $]1,2]$ or $p=3$. In this note, we give upper bounds on the superquantiles of $M_n$ and the quantiles and superquantiles of $M_n^{*}=max(M_0,M_1,...,M_n)$.

Classification : 60E15

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