The maximum maximum of a martingale with given nn marginals

We obtain bounds on the distribution of the maximum of a martingale with fixed marginals at finitely many intermediate times. The bounds are sharp and attained by a solution to $n$-marginal Skorokhod embedding problem in Ob{\l}\'oj and Spoida [An iterated Az\'ema-Yor type embedding for finitely many marginals (2013) Preprint]. It follows that their embedding maximizes the maximum among all other embeddings. Our motivating problem is superhedging lookback options under volatility uncertainty for an investor allowed to dynamically trade the underlying asset and statically trade European call options for all possible strikes and finitely-many maturities. We derive a pathwise inequality which induces the cheapest superhedging value, which extends the two-marginals pathwise inequality of Brown, Hobson and Rogers [Probab. Theory Related Fields 119 (2001) 558-578]. This inequality, proved by elementary arguments, is derived by following the stochastic control approach of Galichon, Henry-Labord\`ere and Touzi [Ann. Appl. Probab. 24 (2014) 312-336].Comment: Published at http://dx.doi.org/10.1214/14-AAP1084 in the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org

Symmetry-breaking phase transition in a dynamical decision model

We consider a simple decision model in which a set of agents randomly choose one of two competing shops selling the same perishable products (typically food). The satisfaction of agents with respect to a given store is related to the freshness of the previously bought products. Agents select with a higher probability the store they are most satisfied with. Studying the model from a statistical physics perspective, both through numerical simulations and mean-field analytical methods, we find a rich behaviour with continuous and discontinuous phase transitions between a symmetric phase where both stores maintain the same level of activity, and a phase with broken symmetry where one of the two shops attracts more customers than the other.Comment: 13 pages, 6 figures, submitted to JSTA

The quest for the ultimate anisotropic Banach space

We present a new scale $U^{t,s}_p$ (with $s<-t<0$ and $1 \le p <\infty$) of anisotropic Banach spaces, defined via Paley-Littlewood, on which the transfer operator associated to a hyperbolic dynamical system has good spectral properties. When $p=1$ and $t$ is an integer, the spaces are analogous to the "geometric" spaces considered by Gou\"ezel and Liverani. When $p>1$ and $-1+1/p<s<-t<0<t<1/p$, the spaces are somewhat analogous to the geometric spaces considered by Demers and Liverani. In addition, just like for the "microlocal" spaces defined by Baladi-Tsujii, the spaces $U^{t,s}_p$ are amenable to the kneading approach of Milnor-Thurson to study dynamical determinants and zeta functions. In v2, following referees' reports, typos have been corrected (in particular (39) and (43)). Section 4 now includes a formal statement (Theorem 4.1) about the essential spectral radius if $d_s=1$ (its proof includes the content of Section 4.2 from v1). The Lasota-Yorke Lemma 4.2 (Lemma 4.1 in v1) includes the claim that $\cal M_b$ is compact. Version v3 contains an additional text "Corrections and complements" showing that s> t-(r-1) is needed in Section 4.Comment: 31 pages, revised version following referees' reports, with Corrections and complement