Bdg jumper

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Bdg jumper

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Bdg jumper

The Burkholder-Davis-Gundy inequality is a remarkable result relating the maximum of a local martingale with its quadratic variation. Recall that [ X ] denotes the quadratic variation of a process X , and is its maximum process. Theorem 1 Burkholder-Davis-Gundy For any there exist positive constants such that, for all local martingales X with and stopping times , the following inequality holds. Furthermore, for continuous local martingales, this statement holds for all. A proof of this result is given below. For , the theorem can also be stated as follows. The set of all cadlag martingales X starting from zero for which is finite is a vector space, and the BDG inequality states that the norms and are equivalent. The significance of Theorem 1 , then, is that this extends to all.

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