Pathwise versions of the Burkholder-Davis-Gundy inequality
File(s)euclid.bj.1426597073.pdf (153.63 KB)
Published version
Author(s)
Beiglboeck, Mathias
Siorpaes, Pietro
Type
Journal Article
Abstract
We present a new proof of the Burkholder–Davis–Gundy inequalities for 1 ≤ p < ∞. 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.
Date Issued
2015-03-17
Date Acceptance
2015-03-01
Citation
Bernoulli, 2015, 21 (1), pp.360-373
ISSN
1350-7265
Publisher
Bernoulli Society for Mathematical Statistics and Probability
Start Page
360
End Page
373
Journal / Book Title
Bernoulli
Volume
21
Issue
1
Copyright Statement
© 2015 ISI/BS
Identifier
http://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000351120100012&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=1ba7043ffcc86c417c072aa74d649202
Subjects
Science & Technology
Physical Sciences
Statistics & Probability
Mathematics
Burkholder-Davis-Gundy
martingale inequalities
pathwise hedging
MARTINGALE SQUARE FUNCTION
BARRIER OPTIONS
MAXIMUM
Publication Status
Published
Date Publish Online
2015-03-17