Two Inequalities for the First Moments of a Martingale, its Square Function and its Maximal Function

DOI10.4064/BA53-4-9MaRDI QIDQ3414697zbMATH OpenOpenAlexFDO

Authors Adam Osȩkowski

Publication date 10 January 2007

Published in Bulletin Polish Acad. Sci. Math. (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4064/ba53-4-9

zbMATH Keywords

martingalemaximal functionsquare functionmoment inequality

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Martingales and classical analysis (60G46)

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(20)

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• Sharp moment estimates for martingales with uniformly bounded square functions
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• Prophet regions and sharp inequalities for pth absolute moments of martingales
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• Some dimension-free features of vector-valued martingales
• On the maximal inequalities of Burkholder, Davis and Gundy
• Reflected and doubly reflected backward stochastic differential equations with time-delayed generators
• Distribution of martingales with bounded square functions
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• On a relation between norms of the maximal function and the square function of a martingale
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