Maximal inequalities for the iterated fractional integrals (Q1771439): Difference between revisions

Given a constant \(0<H<1\). It is well-known that the fractional Brownian motion with Hurst index \(H\) is the centered continuous Gaussian process \(B^{H}_{t}=B^{H}_{t}(\omega),\) \(t \geq 0 , \omega \in \Omega\), with the covariance function \[ E[B^{H}_{t}B^{H}_{s}]= {\tfrac{1}{2}}(t^{2H} +s^{2H}- | t-s | ^{2H}) \] for all \(s,t \geq 0.\) Here \(E\) denotes the expectation with respect to the probability law \(\mu_{H}\) for \(B^{H}\) on \(\Omega.\) The author considers the iterated fractional sochastic integrals \((I_{n}(t,H))_{t \geq 0}, n \geq 0,\) \(0 <H <1,\) inductively by \[ I_{n}(t, H)=\int^{t}_{0} I_{n-1}(s,H) \,dB^{H}_{s} \] with \(I_{0}(t, H)=1\) and \(I_{1}(t,H)=B^{H}_{t}.\) Then he obtains the inequalities \[ c_{n,p}\|\tau^{nH} \|_{p} \leq \left\| \sup_{0 \leq t \leq \tau} |I_{n}(t,H) |\,\right\|_{p} \leq C_{n,p} \|\tau^{nH} \|_{p}, \quad n=1,2, \dots \] for all stopping times \(\tau\) of \(B^{H}\) and \(0<p<\infty,\) where \(c_{n,p}\) and \(C_{n,p}\) are two positive constants depending only on \(n, p.\) This is an extension of a result obtained by \textit{E. Carlen} and \textit{P. Krée} [Ann. Probab. 19, No. 1, 354--368 (1991; Zbl 0721.60052)]. As a related problem, the author obtains some moment inequalities for the process \(X_{t}=\int^{t}_{0} u_{s} dB^{H}_{s}, t \geq 0,\) where \(u\) is a deterministic continuous function with some suitable conditions. He shows that \(\|( \int^{\tau}_{0} u^{2}_{s}s^{2H-1} \,ds)^{1/2} \|_{p}\) and \(\|\sup_{0 \leq t \leq \tau } |X_{t}|\,\|_{p}\) are equivalent for all \(0<p<\infty\) and all stopping times \(\tau\) of \(B^{H}.\)