Pathwise versions of the Burkholder-Davis-Gundy inequality
| Autor: | Beiglböck, Mathias, Siorpaes, Pietro |
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| Rok vydání: | 2013 |
| Předmět: | |
| Zdroj: | Bernoulli 2015, Vol. 21, No. 1, 360-373 |
| Druh dokumentu: | Working Paper |
| DOI: | 10.3150/13-BEJ570 |
| Popis: | We present a new proof of the Burkholder-Davis-Gundy inequalities for $1\leq p<\infty$. 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. Comment: Published at http://dx.doi.org/10.3150/13-BEJ570 in the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm) |
| Databáze: | arXiv |
| Externí odkaz: |
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