Weighted Lépingle inequality (Q2175002)
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scientific article; zbMATH DE number 7193961
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Weighted Lépingle inequality |
scientific article; zbMATH DE number 7193961 |
Statements
Weighted Lépingle inequality (English)
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27 April 2020
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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.
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\(p\)-variation
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Burkholder-Davis-Gundy inequality
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Muckenhoupt \(A_p\) weight
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0.8164058327674866
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0.7999060750007629
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0.7806401252746582
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0.7741715312004089
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0.7696081399917603
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