Weighted Lépingle inequality (Q2175002): Difference between revisions

This small paper provides an elegant proof of the estimation of the weighted \(p\)th moment of the pathwise \(r\)-variation of a martingale in terms of the weighted \(p\)th moment of the martingale. The displayed constant shows an asymptotic sharp dependence of the \(A_p\) characteristic of the weight. The simple proof is obtained through the introduction as a middle term of the \(p\)th moment of the square variation of the judiciously sampled martingale. Some remarks are added concerning extensions and applications of this estimation.