Pathwise versions of the Burkholder-Davis-Gundy inequality (Q2345124): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Revision as of 06:48, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pathwise versions of the Burkholder-Davis-Gundy inequality |
scientific article |
Statements
Pathwise versions of the Burkholder-Davis-Gundy inequality (English)
0 references
19 May 2015
0 references
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.
0 references
Burkholder-Davis-Gundy inequality
0 references
martingale inequality
0 references
pathwise hedging
0 references
