Sharp Norm Inequalities for Martingales and their Differential Subordinates

• Autorzy: Adam Osękowski
• Języki publikacji: EN

Abstrakty

EN

Suppose f = (fₙ), g = (gₙ) are martingales with respect to the same filtration, satisfying
$|fₙ-f_{n-1}| ≤ |gₙ-g_{n-1}|$, n = 1,2,...,
with probability 1. Under some assumptions on f₀, g₀ and an additional condition that one of the processes is nonnegative, some sharp inequalities between the pth norms of f and g, 0 < p < ∞, are established. As an application, related sharp inequalities for stochastic integrals and harmonic functions are obtained.

Kategorie tematyczne

• 31B05: Harmonic, subharmonic, superharmonic functions
• 60G42: Martingales with discrete parameter
• 60H05: Stochastic integrals

• Wydawca: Institute of Mathematics Polish Academy of Sciences
• Czasopismo: Bulletin of the Polish Academy of Sciences. Mathematics
• Rocznik: 2007
• Tom: 55
• Numer: 4
• Strony: 373-385

Daty

wydano

2007

Twórcy

autor

Adam Osękowski

• Department of Mathematics, Informatics and Mechanics, Warsaw University, Banacha 2, 02-097 Warszawa, Poland

Identyfikatory

DOI

10.4064/ba55-4-9