Pathwise versions of the Burkholder-Davis-Gundy inequality

Abstract

We present a new proof of the Burkholder-Davis-Gundy inequalities for $1\le p<\infty$. 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.

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)

References in corpus (3)

• The Skorokhod embedding problem and its offspring
• Arbitrage and duality in nondominated discrete-time models
• Pathwise inequalities for local time: Applications to Skorokhod embeddings and optimal stopping

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