Lq-valued Burkholder–Rosenthal inequalities and sharp estimates for stochastic integrals

Sjoerd Dirksen; Ivan Yaroslavtsev

doi:10.1112/plms.12277

Lq-valued Burkholder–Rosenthal inequalities and sharp estimates for stochastic integrals

Sjoerd Dirksen, Ivan Yaroslavtsev

Max Planck Institute for Mathematics in the Sciences

Research output: Contribution to journal › Article › Academic › peer-review

Abstract

We prove sharp maximal inequalities for (Formula presented.) -valued stochastic integrals with respect to any Hilbert space-valued local martingale. Our proof relies on new Burkholder–Rosenthal type inequalities for martingales taking values in an (Formula presented.) -space.

Original language	English
Pages (from-to)	1633-1693
Number of pages	61
Journal	Proceedings of the London Mathematical Society
Volume	119
Issue number	6
DOIs	https://doi.org/10.1112/plms.12277
Publication status	Published - Dec 2019

Keywords

60G44
60H05 (primary)
60G42
46L52 (secondary)

Access to Document

10.1112/plms.12277

Dirksen_et_al-2019-Proceedings_of_the_London_Mathematical_SocietyFinal published version, 830 KB

Cite this

@article{4ff6926769064c5293e8deb2a78ec029,

title = "Lq-valued Burkholder–Rosenthal inequalities and sharp estimates for stochastic integrals",

abstract = "We prove sharp maximal inequalities for (Formula presented.) -valued stochastic integrals with respect to any Hilbert space-valued local martingale. Our proof relies on new Burkholder–Rosenthal type inequalities for martingales taking values in an (Formula presented.) -space.",

keywords = "60G44, 60H05 (primary), 60G42, 46L52 (secondary)",

author = "Sjoerd Dirksen and Ivan Yaroslavtsev",

year = "2019",

month = dec,

doi = "10.1112/plms.12277",

language = "English",

volume = "119",

pages = "1633--1693",

journal = "Proceedings of the London Mathematical Society",

issn = "0024-6115",

publisher = "John Wiley and Sons Ltd",

number = "6",

}

TY - JOUR

T1 - Lq-valued Burkholder–Rosenthal inequalities and sharp estimates for stochastic integrals

AU - Dirksen, Sjoerd

AU - Yaroslavtsev, Ivan

PY - 2019/12

Y1 - 2019/12

N2 - We prove sharp maximal inequalities for (Formula presented.) -valued stochastic integrals with respect to any Hilbert space-valued local martingale. Our proof relies on new Burkholder–Rosenthal type inequalities for martingales taking values in an (Formula presented.) -space.

AB - We prove sharp maximal inequalities for (Formula presented.) -valued stochastic integrals with respect to any Hilbert space-valued local martingale. Our proof relies on new Burkholder–Rosenthal type inequalities for martingales taking values in an (Formula presented.) -space.

KW - 60G44

KW - 60H05 (primary)

KW - 60G42

KW - 46L52 (secondary)

UR - http://www.scopus.com/inward/record.url?scp=85070645982&partnerID=8YFLogxK

U2 - 10.1112/plms.12277

DO - 10.1112/plms.12277

M3 - Article

AN - SCOPUS:85070645982

SN - 0024-6115

VL - 119

SP - 1633

EP - 1693

JO - Proceedings of the London Mathematical Society

JF - Proceedings of the London Mathematical Society

IS - 6

ER -

Lq-valued Burkholder–Rosenthal inequalities and sharp estimates for stochastic integrals

Abstract

Keywords

Access to Document

Other files and links

Fingerprint

Cite this