Pathwise versions of the Burkholder-Davis-Gundy inequality

DOI10.3150/13-BEJ570zbMath1352.60060arXiv1305.6188OpenAlexW2049717786WikidataQ57229688 ScholiaQ57229688MaRDI QIDQ2345124

Pietro Siorpaes, Mathias Beiglböck

Publication date: 19 May 2015

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1305.6188

zbMATH Keywords

martingale inequalityBurkholder-Davis-Gundy inequalitypathwise hedging

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Martingales with discrete parameter (60G42) Derivative securities (option pricing, hedging, etc.) (91G20) Martingales and classical analysis (60G46)

Related Items (20)

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