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

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 concrete nature of the representation makes the inequality useful for a variety of applications. In this work, we use the inequalities... Show more