Pointwise properties of martingales with values in Banach function spaces

DOI10.1007/978-3-030-26391-1_16MaRDI QIDQ2190645zbMATH OpenOpenAlexFDO

Authors Mark Veraar, Ivan Yaroslavtsev

Publication date 21 June 2020

Full work available at URL https://arxiv.org/abs/1803.11063

zbMATH Keywords

quadratic variationlocal martingaleBurkholder-Davis-Gundy inequalitieslattice maximal functionUMD Banach function spaces

Mathematics Subject Classification ID

Probability theory on linear topological spaces (60B11) Generalizations of martingales (60G48) Martingales with continuous parameter (60G44) Stochastic integrals (60H05)

Abstract: In this paper we consider local martingales with values in a UMD Banach function space. We prove that such martingales have a version which is a martingale field. Moreover, a new Burkholder--Davis--Gundy type inequality is obtained.

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Cited in

(7)

• A₁ Fefferman-Stein inequality for maximal functions of martingales in uniformly smooth spaces
• On some Banach spaces of martingales associated with function spaces
• Local characteristics and tangency of vector-valued martingales
• Weighted Davis inequalities for martingale square functions
• On the theory of Banach space valued multifunctions. II: Set valued martingales and set valued measures
• Burkholder-Davis-Gundy inequalities in UMD Banach spaces
• Besov rough path analysis (with an appendix by Pavel Zorin-Kranich)

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