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.

0 references

reviewed by

Fraser Daly

0 references

zbMATH Keywords

Burkholder-Davis-Gundy inequality

0 references

martingale inequality

0 references

pathwise hedging

0 references

MaRDI profile type

MaRDI publication profile

0 references

cites work

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

0 references

A trajectorial interpretation of Doob's martingale inequalities

0 references

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

0 references

Martingale inequalities and deterministic counterparts

0 references

Arbitrage and duality in nondominated discrete-time models

0 references

Robust Hedging of Barrier Options

0 references

Martingale Transforms

0 references

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

0 references

Extrapolation and interpolation of quasi-linear operators on martingales

0 references

Q4441735

0 references

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

0 references

Robust Hedging of Double Touch Barrier Options

0 references

Robust pricing and hedging of double no-touch options

0 references

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

0 references

On the integrability of the martingale square function

0 references

ARBITRAGE BOUNDS FOR PRICES OF WEIGHTED VARIANCE SWAPS

0 references

Robust hedging with proportional transaction costs

0 references

Martingale optimal transport and robust hedging in continuous time

0 references

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

0 references

Robust hedging of the lookback option

0 references

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

0 references

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

0 references

The Skorokhod embedding problem and its offspring

0 references

Q5493562

0 references

Sharp maximal inequalities for the martingale square bracket

0 references

Q4226355

0 references

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

0 references

Q4328337

0 references

Identifiers

zbMATH Open document ID

1352.60060

0 references

DOI

10.3150/13-BEJ570

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

0 references

0 references

0 references

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:2345124

@@ 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