Semi-martingale inequalities via the Garsia-Rodemich-Rumsey lemma, and applications to local times

DOI10.1016/0022-1236(82)90080-5zbMath0505.60054OpenAlexW2004779166WikidataQ98025706 ScholiaQ98025706MaRDI QIDQ1836443

Publication date: 1982

Published in: Journal of Functional Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0022-1236(82)90080-5

zbMATH Keywords

local time martingale inequalities

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44)

Related Items (97)

Forward, backward and symmetric stochastic integration ⋮ Regularity of Skorohod integral processes based on integrands in a finite Wiener chaos ⋮ A propagation of chaos result for Burgers' equation ⋮ Stochastic partial differential equations in Hölder spaces ⋮ Euclidean Gibbs measures on loop lattices: existence and a priori estimates. ⋮ Optimal discretization of stochastic integrals driven by general Brownian semimartingale ⋮ Relatively compact families of functionals on abstract Wiener space and applications ⋮ Sample path large deviations for diffusion processes on configuration spaces over a Riemannian manifold ⋮ Large deviations for stochastic nonlinear beam equations ⋮ EXPONENTIAL GROWTH RATE FOR DERIVATIVES OF STOCHASTIC FLOWS ⋮ On some inequalities of local time ⋮ Barlow-Yor inequalities for intersection local times of two planar Brownian motions ⋮ Well-posedness and large deviations of the stochastic modified Camassa-Holm equation ⋮ Long-Time Stability and Accuracy of the Ensemble Kalman--Bucy Filter for Fully Observed Processes and Small Measurement Noise ⋮ Existence and a priori estimates for Euclidean Gibbs states ⋮ Multilevel Monte Carlo method for ergodic SDEs without contractivity ⋮ Solving some stochastic partial differential equations driven by Lévy noise using two SDEs* ⋮ Identification of unstable fixed points for randomly perturbed dynamical systems with multistability ⋮ Fractional smoothness for the generalized local time of the indefinite Skorokhod integral ⋮ A phase transition in a quantum crystal with asymmetric potentials ⋮ Iterated integrals with respect to Bessel processes ⋮ On the nonparametric inference of coefficients of self-exciting jump-diffusion ⋮ The generalized covariation process and Itô formula ⋮ Occupation densities of stratonovitch stochastic differential equations with boundary conditions ⋮ A Law of the Iterated Logarithm for Some Additive Functionals of Symmetric Stable Process Via the Strong Approximation ⋮ Subgaussian 1-cocycles on discrete groups ⋮ Stratonovich calculus with spatial parameters and anticipative problems in multiplicative ergodic theory ⋮ Stochastic integrals and BDG's inequalities in Orlicz-type spaces ⋮ Weighted bounded mean oscillation applied to backward stochastic differential equations ⋮ Strong approximations of three-dimensional Wiener sausages ⋮ Intermittency for stochastic partial differential equations driven by strongly inhomogeneous space-time white noises ⋮ Quasi-likelihood estimation of a threshold diffusion process ⋮ ON THE CONSISTENCY OF THE LEAST SQUARES ESTIMATOR IN MODELS SAMPLED AT RANDOM TIMES DRIVEN BY LONG MEMORY NOISE: THE RENEWAL CASE ⋮ Parametric inference for diffusions observed at stopping times ⋮ On the small time asymptotics of scalar stochastic conservation laws ⋮ On the small time asymptotics of quasilinear parabolic stochastic partial differential equations ⋮ Convergence in law for the capacity of the range of a critical branching random walk ⋮ Adaptive estimation of intensity in a doubly stochastic Poisson process ⋮ Well-posedness and the small time large deviations of the stochastic integrable equation governing short-waves in a long-wave model ⋮ Maximal inequalities and some applications ⋮ Large deviation principle for the two-dimensional stochastic Navier-Stokes equations with anisotropic viscosity ⋮ A note on the domination inequalities and their applications ⋮ Homogenization of a singular random one-dimensional PDE with time-varying coefficients ⋮ ANTICIPATING MULTIDIMENSIONAL STOCHASTIC DIFFERENTIAL EQUATIONS WITH REFLECTIONS ⋮ RARE EVENTS IN THE STOCHASTIC CAMASSA–HOLM EQUATION ⋮ On the small time asymptotics of stochastic non-Newtonian fluids ⋮ Probabilistic representation for solutions of an irregular porous media type equation ⋮ Unnamed Item ⋮ Stochastic 3D tamed Navier-Stokes equations: existence, uniqueness and small time large deviation principles ⋮ Large deviation principles for the stochastic quasi-geostrophic equations ⋮ The \(\frac{4}{3}\)-variation of the derivative of the self-intersection Brownian local time and related processes ⋮ Stability Properties of Systems of Linear Stochastic Differential Equations with Random Coefficients ⋮ Reduction formula for moments of stochastic integrals ⋮ Penalized nonparametric mean square estimation of the coefficients of diffusion processes ⋮ Asymptotic properties for Cauchy's principal values of Brownian and random walk local time ⋮ GIRSANOV TRANSFORMATION AND ITS APPLICATION TO THE THEORY OF ENLARGEMENT OF FILTRATIONS ⋮ Spatial asymptotic behavior of homeomorphic global flows for non-Lipschitz SDEs ⋮ On the Burkholder-Davis-Gundy inequalities for continuous martingales ⋮ Convergence rate of strong approximations of compound random maps, application to SPDEs ⋮ Non-parametric estimation of the diffusion coefficient from noisy data ⋮ On the paths Hölder continuity in models of Euclidean quantum field theory ⋮ Strong-viscosity solutions: classical and path-dependent PDEs ⋮ Level crossings of a two-parameter random walk ⋮ Inequalities for upcrossings of semimartingales via skorohod embedding ⋮ Weighted BMO and discrete time hedging within the Black-Scholes model ⋮ Improved moment estimates for invariant measures of semilinear diffusions in Hilbert spaces and applications ⋮ On the small time asymptotics of the two-dimensional stochastic Navier-Stokes equations ⋮ GLAUBER DYNAMICS FOR QUANTUM LATTICE SYSTEMS ⋮ On the quasi-everywhere regularity of the local time of one-dimensional diffusion process in Besov space ⋮ EUCLIDEAN GIBBS STATES OF QUANTUM LATTICE SYSTEMS ⋮ An inequality for processes which satisfy Kolmogorov's continuity criterion. Application to continuous martingales ⋮ Non parametric estimation of the diffusion coefficients of a diffusion with jumps ⋮ Occupation time problems for fractional Brownian motion and some other self-similar processes ⋮ On the spatial asymptotic behavior of stochastic flows in Euclidean space ⋮ BSDEs, Càdlàg Martingale Problems, and Orthogonalization under Basis Risk ⋮ Continuity of the occupation density for anticipating stochastic integral processes ⋮ Large deviation for stochastic volterra equation in the Besov-Orlicz space and application ⋮ A ``Tanaka formula in harmonic analysis and some applications ⋮ On the stochastic two-component b-family system ⋮ Approximation of SDEs: a stochastic sewing approach ⋮ Propagation of chaos for pressureless gas equations with viscosity. ⋮ Limit laws for local times of the Brownian sheet ⋮ Nonparametric estimation for interacting particle systems: McKean-Vlasov models ⋮ Probabilistic representation of a class of non conservative nonlinear Partial Differential Equations ⋮ Concentration of scalar ergodic diffusions and some statistical implications ⋮ Estimating the characteristics of stochastic damping Hamiltonian systems from continuous observations ⋮ Path-by-path uniqueness of multidimensional SDE's on the plane with nondecreasing coefficients ⋮ The density of the area integral in \({\mathbb{R}}_+^{n+1}\) ⋮ Adaptive estimation in diffusion processes. ⋮ Noncommutative martingale deviation and Poincaré type inequalities with applications ⋮ Unnamed Item ⋮ Distribution function inequalities for the density of the area integral ⋮ On the perturbation problem for occupation densities ⋮ A maximal inequality for upcrossings of a continuous martingale ⋮ Sup-norm adaptive drift estimation for multivariate nonreversible diffusions ⋮ On \(L^{2}\) modulus of continuity of Brownian local times and Riesz potentials ⋮ The Maximum of the Local Time of a Diffusion Process in a Drifted Brownian Potential

Cites Work

This page was built for publication: Semi-martingale inequalities via the Garsia-Rodemich-Rumsey lemma, and applications to local times