Pathwise versions of the Burkholder-Davis-Gundy inequality

DOI10.3150/13-BEJ570MaRDI QIDQ2345124zbMATH OpenOpenAlexWikidataFDO

Authors Mathias Beiglböck, Pietro Siorpaes

Publication date 19 May 2015

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1305.6188, https://projecteuclid.org/euclid.bj/1426597073

zbMATH Keywords

Burkholder-Davis-Gundy inequalitymartingale inequalitypathwise hedging

Mathematics Subject Classification ID

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

Abstract: We present a new proof of the Burkholder-Davis-Gundy inequalities for $1leqp<infty$. The novelty of our method is that these martingale inequalities are obtained as consequences of elementary deterministic counterparts. The latter have a natural interpretation in terms of robust hedging.

Recommendations

• Applications of pathwise Burkholder-Davis-Gundy inequalities
• The Burkholder-Davis-Gundy inequality for enhanced martingales
• Path differentiation in the Borel setting
• On pathwise counterparts of Doob's maximal inequalities
• A generalization of the Burkholder–Davis–Gundy inequalities
• A generalisation of the Burkholder-Davis-Gundy inequalities
• On the Burkholder-Davis-Gundy inequalities for continuous martingales
• Functional inequalities on path spaces of processes with independent increments
• Martingale inequalities for the maximum via pathwise arguments
• scientific article; zbMATH DE number 176892

Cites work

• scientific article; zbMATH DE number 1245556 (Why is no real title available?)
• scientific article; zbMATH DE number 739283 (Why is no real title available?)
• scientific article; zbMATH DE number 2023357 (Why is no real title available?)
• scientific article; zbMATH DE number 5066277 (Why is no real title available?)
• A model-free version of the fundamental theorem of asset pricing and the super-replication theorem
• A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options
• A trajectorial interpretation of Doob's martingale inequalities
• Arbitrage and duality in nondominated discrete-time models
• Arbitrage bounds for prices of weighted variance swaps
• Extrapolation and interpolation of quasi-linear operators on martingales
• Martingale Transforms
• Martingale inequalities and deterministic counterparts
• Martingale optimal transport and robust hedging in continuous time
• Model-independent bounds for option prices -- a mass transport approach
• Model-independent hedging strategies for variance swaps
• On the integrability of the martingale square function
• Pathwise inequalities for local time: Applications to Skorokhod embeddings and optimal stopping
• Robust bounds for forward start options
• Robust hedging of barrier options.
• Robust hedging of double touch barrier options
• Robust hedging of the lookback option
• Robust hedging with proportional transaction costs
• Robust pricing and hedging of double no-touch options
• Root's barrier: construction, optimality and applications to variance options
• Sharp maximal inequalities for the martingale square bracket
• The Skorokhod embedding problem and its offspring
• The Skorokhod embedding problem and model-independent bounds for option prices
• The best constant in the Davis inequality for the expectation of the martingale square function
• The joint law of the maximum and terminal value of a martingale
• The minimum maximum of a continuous martingale with given initial and terminal laws

Cited in

(27)

• On pathwise counterparts of Doob's maximal inequalities
• Martingale optimal transport in the Skorokhod space
• Duality for pathwise superhedging in continuous time
• BDG inequalities and their applications for model-free continuous price paths with instant enforcement
• Strong convergence rates for Markovian representations of fractional processes
• A superhedging approach to stochastic integration
• A trajectorial approach to relative entropy dissipation of McKean-Vlasov diffusions: gradient flows and HWBI inequalities
• \(A_1\) Fefferman-Stein inequality for maximal functions of martingales in uniformly smooth spaces
• A Trajectorial Approach to the Gradient Flow Properties of Langevin--Smoluchowski Diffusions
• Martingale inequalities for the maximum via pathwise arguments
• Causal functional calculus
• Finite element approximations of a class of nonlinear stochastic wave equations with multiplicative noise
• On the maximal inequalities of Burkholder, Davis and Gundy
• Critical scaling for an anisotropic percolation system on \(\mathbb{Z}^2\)
• A trajectorial interpretation of Doob's martingale inequalities
• Weighted Davis inequalities for martingale square functions
• Analysis of a mixed finite element method for stochastic Cahn-Hilliard equation with multiplicative noise
• The sharp constant for the Burkholder-Davis-Gundy inequality and non-smooth pasting
• Remarks on the speeds of a class of random walks on the integers
• On the quadratic variation of the model-free price paths with jumps
• Sample out-of-sample inference based on Wasserstein distance
• Functional central limit theorems for rough volatility
• scientific article; zbMATH DE number 1959631 (Why is no real title available?)
• Applications of pathwise Burkholder-Davis-Gundy inequalities
• Stochastic integration and differential equations for typical paths
• The Burkholder-Davis-Gundy inequality for enhanced martingales
• Martingale inequalities and deterministic counterparts

This page was built for publication: Pathwise versions of the Burkholder-Davis-Gundy inequality

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2345124)