Sharp Norm Inequalities for Martingales and their Differential Subordinates

Adam Osękowski. "Sharp Norm Inequalities for Martingales and their Differential Subordinates." Bulletin of the Polish Academy of Sciences. Mathematics 55.4 (2007): 373-385. <http://eudml.org/doc/281226>.

@article{AdamOsękowski2007,
abstract = {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.},
author = {Adam Osękowski},
journal = {Bulletin of the Polish Academy of Sciences. Mathematics},
language = {eng},
number = {4},
pages = {373-385},
title = {Sharp Norm Inequalities for Martingales and their Differential Subordinates},
url = {http://eudml.org/doc/281226},
volume = {55},
year = {2007},
}

TY - JOUR
AU - Adam Osękowski
TI - Sharp Norm Inequalities for Martingales and their Differential Subordinates
JO - Bulletin of the Polish Academy of Sciences. Mathematics
PY - 2007
VL - 55
IS - 4
SP - 373
EP - 385
AB - 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.
LA - eng
UR - http://eudml.org/doc/281226
ER -