L\({}^ p\) estimates on iterated stochastic integrals (Q2640997): Difference between revisions
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Revision as of 19:53, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
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| English | L\({}^ p\) estimates on iterated stochastic integrals |
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L\({}^ p\) estimates on iterated stochastic integrals (English)
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1991
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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.
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Burkholder-Davis-Gundy type of inequality
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iterated integrals
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Neumann series for exponential martingales
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