Pathwise versions of the Burkholder-Davis-Gundy inequality

Mathias Beiglböck; Pietro Siorpaes

doi:10.3150/13-BEJ570

Pathwise versions of the Burkholder-Davis-Gundy inequality

Probability 2016-08-11 v2

Authors: Mathias Beiglböck , Pietro Siorpaes

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Abstract

We present a new proof of the Burkholder-Davis-Gundy inequalities for $1\leq p<\infty$ . The novelty of our method is that these martingale inequalities are obtained as consequences of elementary deterministic counterparts. The latter have a natural interpretation in terms of robust hedging.

Keywords

Burkholder-Davis-Gundy inequalities martingale inequalities pathwise analysis deterministic counterparts robust hedging stochastic processes

Cite

@article{arxiv.1305.6188,
  title  = {Pathwise versions of the Burkholder-Davis-Gundy inequality},
  author = {Mathias Beiglböck and Pietro Siorpaes},
  journal= {arXiv preprint arXiv:1305.6188},
  year   = {2016}
}

Comments

Published at http://dx.doi.org/10.3150/13-BEJ570 in the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm)

Pathwise versions of the Burkholder-Davis-Gundy inequality

Abstract

Keywords

Cite

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