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arXiv · 1507.01302

Applications of pathwise Burkholder-Davis-Gundy inequalities

Pietro Siorpaes
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Abstract

We present several applications of the pathwise Burkholder-Davis-Gundy (BDG) inequalities. Most importantly we prove them for cadlag semimartingales and a general function $\Phi$, and use this to derive BDG inequalities (non-pathwise ones) for the Bessel process of order $\alpha\geq 1$ and for martingales stopped at $\tau$, with $\tau$ in a well studied class of random times.

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Pietro Siorpaes. 2015-07-05. Applications of pathwise Burkholder-Davis-Gundy inequalities. https://arxiv.org/abs/1507.01302

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