Pathwise versions of the Burkholder-Davis-Gundy inequality (Q2345124): Difference between revisions

Motivated by hedging considerations from mathematical finance, the authors give a new proof of the Burkholder-Davis-Gundy (BDG) inequalities, which give a comparison between the running maximum of a martingale and its quadratic variation. The inequalities are obtained as a consequence of deterministic inequalities which are then applied pathwise to the given martingale. Taking expectations in these inequalities then yields the BDG inequalities.

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reviewed by

Fraser Daly

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Mathematics Subject Classification ID

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Burkholder-Davis-Gundy inequality

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martingale inequality

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pathwise hedging

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Wikidata QID

Q57229688

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MaRDI profile type

MaRDI publication profile

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arXiv ID

1305.6188

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cites work

A MODEL-FREE VERSION OF THE FUNDAMENTAL THEOREM OF ASSET PRICING AND THE SUPER-REPLICATION THEOREM

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A trajectorial interpretation of Doob's martingale inequalities

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Model-independent bounds for option prices -- a mass transport approach

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Martingale inequalities and deterministic counterparts

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Arbitrage and duality in nondominated discrete-time models

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Robust Hedging of Barrier Options

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Martingale Transforms

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The best constant in the Davis inequality for the expectation of the martingale square function

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Extrapolation and interpolation of quasi-linear operators on martingales

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Q4441735

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

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Robust Hedging of Double Touch Barrier Options

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Robust pricing and hedging of double no-touch options

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Root's barrier: construction, optimality and applications to variance options

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On the integrability of the martingale square function

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ARBITRAGE BOUNDS FOR PRICES OF WEIGHTED VARIANCE SWAPS

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Robust hedging with proportional transaction costs

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Martingale optimal transport and robust hedging in continuous time

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A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options

0 references

Robust hedging of the lookback option

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The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices

0 references

Model-independent hedging strategies for variance swaps

0 references

ROBUST BOUNDS FOR FORWARD START OPTIONS

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The minimum maximum of a continuous martingale with given initial and terminal laws

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The Skorokhod embedding problem and its offspring

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Q5493562

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Sharp maximal inequalities for the martingale square bracket

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Q4226355

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The joint law of the maximum and terminal value of a martingale

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Q4328337

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OpenAlex ID

W2049717786

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Sitelinks

Mathematics(1 entry)

mardi Publication:2345124

@@ Property / Wikidata QID @@
+Q57229688
@@ Property / Wikidata QID: Q57229688 / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.6188
@@ Property / arXiv ID: 1305.6188 / rank @@
+Normal rank
@@ Property / cites work @@
+A MODEL-FREE VERSION OF THE FUNDAMENTAL THEOREM OF ASSET PRICING AND THE SUPER-REPLICATION THEOREM
+Normal rank
@@ Property / cites work @@
+A trajectorial interpretation of Doob's martingale inequalities
+Normal rank
@@ Property / cites work @@
+Model-independent bounds for option prices -- a mass transport approach
+Normal rank
@@ Property / cites work @@
+Martingale inequalities and deterministic counterparts
+Normal rank
@@ Property / cites work @@
+Arbitrage and duality in nondominated discrete-time models
+Normal rank
@@ Property / cites work @@
+Robust Hedging of Barrier Options
@@ Property / cites work: Robust Hedging of Barrier Options / rank @@
+Normal rank
@@ Property / cites work @@
+Martingale Transforms
@@ Property / cites work: Martingale Transforms / rank @@
+Normal rank
@@ Property / cites work @@
+The best constant in the Davis inequality for the expectation of the martingale square function
+Normal rank
@@ Property / cites work @@
+Extrapolation and interpolation of quasi-linear operators on martingales
+Normal rank
@@ Property / cites work @@
+Q4441735
@@ Property / cites work: Q4441735 / rank @@
+Normal rank
@@ Property / cites work @@
+Pathwise inequalities for local time: Applications to Skorokhod embeddings and optimal stopping
+Normal rank
@@ Property / cites work @@
+Robust Hedging of Double Touch Barrier Options
@@ Property / cites work: Robust Hedging of Double Touch Barrier Options / rank @@
+Normal rank
@@ Property / cites work @@
+Robust pricing and hedging of double no-touch options
+Normal rank
@@ Property / cites work @@
+Root's barrier: construction, optimality and applications to variance options
+Normal rank
@@ Property / cites work @@
+On the integrability of the martingale square function
+Normal rank
@@ Property / cites work @@
+ARBITRAGE BOUNDS FOR PRICES OF WEIGHTED VARIANCE SWAPS
+Normal rank
@@ Property / cites work @@
+Robust hedging with proportional transaction costs
+Normal rank
@@ Property / cites work @@
+Martingale optimal transport and robust hedging in continuous time
+Normal rank
@@ Property / cites work @@
+A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options
+Normal rank
@@ Property / cites work @@
+Robust hedging of the lookback option
@@ Property / cites work: Robust hedging of the lookback option / rank @@
+Normal rank
@@ Property / cites work @@
+The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices
+Normal rank
@@ Property / cites work @@
+Model-independent hedging strategies for variance swaps
+Normal rank
@@ Property / cites work @@
+ROBUST BOUNDS FOR FORWARD START OPTIONS
@@ Property / cites work: ROBUST BOUNDS FOR FORWARD START OPTIONS / rank @@
+Normal rank
@@ Property / cites work @@
+The minimum maximum of a continuous martingale with given initial and terminal laws
+Normal rank
@@ Property / cites work @@
+The Skorokhod embedding problem and its offspring
@@ Property / cites work: The Skorokhod embedding problem and its offspring / rank @@
+Normal rank
@@ Property / cites work @@
+Q5493562
@@ Property / cites work: Q5493562 / rank @@
+Normal rank
@@ Property / cites work @@
+Sharp maximal inequalities for the martingale square bracket
+Normal rank
@@ Property / cites work @@
+Q4226355
@@ Property / cites work: Q4226355 / rank @@
+Normal rank
@@ Property / cites work @@
+The joint law of the maximum and terminal value of a martingale
+Normal rank
@@ Property / cites work @@
+Q4328337
@@ Property / cites work: Q4328337 / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W2049717786
@@ Property / OpenAlex ID: W2049717786 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:2345124