Pathwise versions of the Burkholder-Davis-Gundy inequality

DOI10.3150/13-BEJ570zbMATH Open1352.60060arXiv1305.6188OpenAlexW2049717786WikidataQ57229688 ScholiaQ57229688MaRDI QIDQ2345124FDOQ2345124

Authors: Mathias Beiglböck, Pietro Siorpaes 

Publication date: 19 May 2015

Published in: Bernoulli (Search for Journal in Brave)

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.

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

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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)

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Cited In (27)

• Functional central limit theorems for rough volatility
• A trajectorial interpretation of Doob's martingale inequalities
• Title not available (Why is that?)
• Analysis of a mixed finite element method for stochastic Cahn-Hilliard equation with multiplicative noise
• Remarks on the speeds of a class of random walks on the integers
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• A superhedging approach to stochastic integration
• Applications of pathwise Burkholder-Davis-Gundy inequalities
• \(A_1\) Fefferman-Stein inequality for maximal functions of martingales in uniformly smooth spaces
• Finite element approximations of a class of nonlinear stochastic wave equations with multiplicative noise
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• On the quadratic variation of the model-free price paths with jumps
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• Duality for pathwise superhedging in continuous time
• On pathwise counterparts of Doob's maximal inequalities
• Martingale optimal transport in the Skorokhod space
• A Trajectorial Approach to the Gradient Flow Properties of Langevin--Smoluchowski Diffusions
• Critical scaling for an anisotropic percolation system on \(\mathbb{Z}^2\)
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• On the maximal inequalities of Burkholder, Davis and Gundy
• The sharp constant for the Burkholder-Davis-Gundy inequality and non-smooth pasting
• Sample out-of-sample inference based on Wasserstein distance
• Causal functional calculus

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