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Pathwise versions of the Burkholder-Davis-Gundy inequality
- Source :
- Bernoulli 21, no. 1 (2015), 360-373
- Publication Year :
- 2013
-
Abstract
- We present a new proof of the Burkholder-Davis-Gundy inequalities for $1\leq p<br />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)
- Subjects :
- Statistics and Probability
Inequality
media_common.quotation_subject
Statistics & Probability
pathwise hedging
MARTINGALE
math.PR
Interpretation (model theory)
Burkholder-Davis-Gundy
Mathematics::Probability
FOS: Mathematics
1403 Econometrics
BARRIER OPTIONS
media_common
Mathematics
MAXIMUM
Mathematics::Functional Analysis
Science & Technology
martingale inequalities
Mathematics::Operator Algebras
Probability (math.PR)
0104 Statistics
Novelty
MARTINGALE SQUARE FUNCTION
Physical Sciences
Burkholder–Davis–Gundy
Martingale (probability theory)
Mathematical economics
Mathematics - Probability
Subjects
Details
- Language :
- English
- Database :
- OpenAIRE
- Journal :
- Bernoulli 21, no. 1 (2015), 360-373
- Accession number :
- edsair.doi.dedup.....3a796d5755234bc55e5bf335c71e40a6