Pathwise versions of the Burkholder-Davis-Gundy inequality (Q2345124): Difference between revisions
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Revision as of 07:48, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
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| English | Pathwise versions of the Burkholder-Davis-Gundy inequality |
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Pathwise versions of the Burkholder-Davis-Gundy inequality (English)
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19 May 2015
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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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Burkholder-Davis-Gundy inequality
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martingale inequality
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pathwise hedging
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