Pathwise versions of the Burkholder-Davis-Gundy inequality
classification
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burkholder-davis-gundyinequalitiesconsequencescounterpartsdeterministicelementaryhedginginequality
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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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