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

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Lq-valued Burkholder–Rosenthal inequalities and sharp estimates for stochastic integrals
 
Dirksen, Sjoerd; Yaroslavtsev, Ivan
(2019) Proceedings of the London Mathematical Society, volume 119, issue 6, pp. 1633 - 1693
(Article)
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.
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Keywords: 60G44, 60H05 (primary), 60G42, 46L52 (secondary), Taverne, General Mathematics
DOI: https://doi.org/10.1112/plms.12277
ISSN: 0024-6115
Publisher: Oxford University Press
(Peer reviewed)
 
 
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