Pathwise versions of the Burkholder-Davis-Gundy inequality

被引：18
作者：
Beiglboeck, Mathias [1 ]
Siorpaes, Pietro [1 ]
机构：
[1] Univ Vienna, Fac Math, A-1090 Vienna, Austria
来源：
BERNOULLI | 2015年 / 21卷 / 01期
基金：
奥地利科学基金会;
关键词：
Burkholder-Davis-Gundy; martingale inequalities; pathwise hedging; MARTINGALE; MAXIMUM;
D O I：
10.3150/13-BEJ570
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
We present a new proof of the Burkholder-Davis-Gundy inequalities for 1 <= p < infinity. 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.
引用
收藏
页码：360 / 373
页数：14
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