Exponential integrability of martingales

DOI10.2989/16073606.2018.1443169MaRDI QIDQ4632406zbMATH OpenOpenAlexWikidataFDO

Authors Kwok-Pun Ho

Publication date 29 April 2019

Published in Quaestiones Mathematicae (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2989/16073606.2018.1443169

zbMATH Keywords

exponential integrabilitymartingalemaximal functionOrlicz spacesquadratic variation

Mathematics Subject Classification ID

Function spaces arising in harmonic analysis (42B35) Spaces of measurable functions ((L^p)-spaces, Orlicz spaces, Köthe function spaces, Lorentz spaces, rearrangement invariant spaces, ideal spaces, etc.) (46E30) Martingales with discrete parameter (60G42) Martingales and classical analysis (60G46)

Cites work

• Approximation Numbers and Entropy Numbers of Embeddings of Fractional Besov-sobolev Spaces in Orlicz Spaces
• Atomic decompositions, dual spaces and interpolations of martingale Hardy-Lorentz-Karamata spaces
• Exponential probabilistic inequalities
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• Martingale Hardy spaces and their applications in Fourier analysis
• Martingale versions of Yano's extrapolation inequalities
• Norms of embeddings of logarithmic Bessel potential spaces
• On some inequalities for Doob decompositions in Banach function spaces

Cited in

(6)

• Exponential probabilistic inequalities
• A note on the exponential \(G\)-martingale
• Exponential tightness of a family of Skorohod integrals
• Bergman projections, Berezin transforms and Cauchy transform on exponential Orlicz spaces and Lorentz-Zygmund spaces
• Uniform integrability of exponential martingales and SDEs
• Exponential Rosenthal and Marcinkiewicz-Zygmund inequalities

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