L\({}^ p\) estimates on iterated stochastic integrals (Q2640997): Difference between revisions
From MaRDI portal
Changed an Item |
Set OpenAlex properties. |
||
| (One intermediate revision by one other user not shown) | |||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1214/aop/1176990549 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2034421218 / rank | |||
Normal rank | |||
Latest revision as of 18:53, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | L\({}^ p\) estimates on iterated stochastic integrals |
scientific article |
Statements
L\({}^ p\) estimates on iterated stochastic integrals (English)
0 references
1991
0 references
The authors prove a Burkholder-Davis-Gundy type of inequality for a sequence of iterated integrals relative to a bounded continuous martingale. The order of magnitude of the constants in the extreme members of the double inequality is given. This allows them, for example, to provide conditions for the \(L^ p\)-convergence of the Neumann series for exponential martingales; the a.s. convergence has earlier been established by C. Doleans-Dade.
0 references
Burkholder-Davis-Gundy type of inequality
0 references
iterated integrals
0 references
Neumann series for exponential martingales
0 references
