A maximal inequality for fractional Brownian motions

DOI10.1016/J.JMAA.2018.10.036MaRDI QIDQ2414733zbMATH OpenOpenAlexFDO

Authors Pavel Yaskov

Publication date 17 May 2019

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmaa.2018.10.036

zbMATH Keywords

fractional Brownian motionthe Burkholder-Davis-Gundy inequalities

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Fractional processes, including fractional Brownian motion (60G22)

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Cites work

• scientific article; zbMATH DE number 3581363 (Why is no real title available?)
• scientific article; zbMATH DE number 3288291 (Why is no real title available?)
• An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
• Extrapolation and interpolation of quasi-linear operators on martingales
• Fractional Brownian motion and the Markov property
• Inequalities for the moments of Wiener integrals with respect to a fractional Brownian motion
• Martingale Integrals
• ON CONTINUOUS MARTINGALES
• On some maximal inequalities for fractional Brownian motions
• On the Decomposition of Continuous Submartingales
• On the Itô--Wentzell formula for distribution-valued processes and related topics
• Representation of a fractional Brownian motion in terms of an infinite-dimensional Ornstein-Uhlenbeck process
• Stochastic Calculus for Fractional Brownian Motion and Applications
• Stochastic calculus for fractional Brownian motion and related processes.
• The stochastic Fubini theorem revisited

Cited in

(16)

• Baxter's inequality for fractional Brownian motion-type processes with Hurst index less than 1/2
• An explicit Euler-Maruyama method for McKean-Vlasov SDEs driven by fractional Brownian motion
• On some maximal and integral inequalities for sub-fractional Brownian motion
• Two-parameter inequality of Garcia-Rodemich-Rumsey and its application to fractional Brownian fields
• A low intensity maximum principle for bi-Brownian motion
• Maximal inequalities for the iterated fractional integrals
• Maximal upper bounds for the moments of stochastic integrals and solutions of stochastic differential equations containing fractional Brownian motion with Hurst index \(H<1/2\). I.
• On some maximal inequalities for fractional Brownian motions
• Some maximal inequalities for fractional Brownian motion with polynomial drift
• More on maximal inequalities for sub-fractional Brownian motion
• A maximal inequality for skew Brownian motion
• An explicit method for the self-interacting diffusion driven by fractional Brownian motion under global Lipschitz conditions
• scientific article; zbMATH DE number 1738350 (Why is no real title available?)
• A stochastic maximum principle for processes driven by fractional Brownian motion.
• Inequalities for the \(\mathbb L^p\) norms of integrals with respect to a fractional Brownian motion
• Correlation inequalities and applications to vector-valued Gaussian random variables and fractional Brownian motion

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