• Bernoulli
  • Volume 21, Number 1 (2015), 360-373.

Pathwise versions of the Burkholder–Davis–Gundy inequality

Mathias Beiglböck and Pietro Siorpaes

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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.

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Bernoulli, Volume 21, Number 1 (2015), 360-373.

First available in Project Euclid: 17 March 2015

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Burkholder–Davis–Gundy martingale inequalities pathwise hedging


Beiglböck, Mathias; Siorpaes, Pietro. Pathwise versions of the Burkholder–Davis–Gundy inequality. Bernoulli 21 (2015), no. 1, 360--373. doi:10.3150/13-BEJ570.

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