BDG inequality for G-martingale

TL;DR

This paper establishes a Burkholder-Davis-Gundy (BDG) inequality for a class of nonlinear martingales derived from backward stochastic differential equations (BSDEs), extending classical martingale inequalities to nonlinear settings.

Contribution

The paper introduces a BDG inequality for nonlinear martingales associated with BSDEs, a novel extension of classical inequalities to nonlinear stochastic processes.

Findings

BDG inequality proven for specific nonlinear martingales

Extension of classical martingale inequalities to BSDE-related processes

Provides tools for analyzing nonlinear stochastic processes

Abstract

In this work we establish an BDG inequality type for certain nonlinear martingale arizing from BSDE.