Mathias Beiglböck, Pietro Siorpaes
Published 2013-05-27, updated 2015-04-13Version 2
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.
Comments: 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)
Journal: Bernoulli 2015, Vol. 21, No. 1, 360-373
A Note on Some Martingale Inequalities
The Burkholder-Davis-Gundy Inequality for Enhanced Martingales
The Sharp Constant for the Burkholder-Davis-Gundy Inequality and Non-Smooth Pasting
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