BDG inequalities and their applications for model-free continuous price paths with instant enforcement

DOI10.15559/23-vmsta233zbMath1527.91183arXiv2109.07928OpenAlexW4387349071MaRDI QIDQ6067094

Rafał Marcin Łochowski

Publication date: 16 November 2023

Published in: Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2109.07928

zbMATH Keywords

outer measurequadratic variationstochastic integralItô's isometryBDG inequalitiesinstant enforcementmodel-free approach in mathematical finance

Mathematics Subject Classification ID

Sample path properties (60G17) Financial applications of other theories (91G80) Stochastic integrals (60H05) Martingales and classical analysis (60G46)

Cites Work

• Unnamed Item
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• Rough paths in idealized financial markets
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• Pathwise stochastic integrals for model free finance
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• Local times and Tanaka-Meyer formulae for càdlàg paths
• Stochastic integration and differential equations for typical paths
• Pathwise versions of the Burkholder-Davis-Gundy inequality
• Continuous-time trading and the emergence of randomness
• Game‐Theoretic Foundations for Probability and Finance
• On a generalisation of the Banach Indicatrix Theorem

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