On maximal inequalities for purely discontinuous martingales in infinite dimensions

Abstract: The purpose of this paper is to give a survey of a class of maximal inequalities for purely discontinuous martingales, as well as for stochastic integral and convolutions with respect to Poisson measures, in infinite dimensional spaces. Such maximal inequalities are important in the study of stochastic partial differential equations with noise of jump type.

Recommendations

Cites work

Cited in

(35)

\(L^p\)-solutions and comparison results for Lévy-driven backward stochastic differential equations in a monotonic, general growth setting
Martingales on noncompact manifolds: Maximal inequalities and prescribed limits
Tamed EM scheme of neutral stochastic differential delay equations
Probability computation for high-dimensional semilinear SDEs driven by isotropic \(\alpha\)-stable processes via mild Kolmogorov equations
Backward stochastic Volterra integral equations with jumps in a general filtration
Ruin probabilities for a Lévy-driven generalised Ornstein-Uhlenbeck process
On moments of integrals with respect to Markov additive processes and of Markov modulated generalized Ornstein-Uhlenbeck processes
Stochastic integration in quasi-Banach spaces
The Kolmogorov Inequality for the Maximum of the Sum of Random Variables and Its Martingale Analogues
Approximate Hedging with Constant Proportional Transaction Costs in Financial Markets with Jumps
On the martingale decompositions of Gundy, Meyer, and Yoeurp in infinite dimensions
Stochastic Volterra equations for the local times of spectrally positive stable processes
\(L^p\)-solution for BSDEs with jumps in the case \(p<2\): Corrections to the paper `BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration'
Maximal inequalities and some applications
Spatial growth processes with long range dispersion: microscopics, mesoscopics and discrepancy in spread rate
Convergence rate of Euler-Maruyama scheme for SDDEs of neutral type
Affine Volterra processes with jumps
Extremes of the stochastic heat equation with additive Lévy noise
Local characteristics and tangency of vector-valued martingales
A generalisation of the Burkholder-Davis-Gundy inequalities
On the Ruin Problem with Investment When the Risky Asset Is a Semimartingale
Optimal strong convergence rates of numerical methods for semilinear parabolic SPDE driven by Gaussian noise and Poisson random measure
Robust adaptive efficient estimation for semi-Markov nonparametric regression models
Model selection for the robust efficient signal processing observed with small Lévy noise
Fréchet differentiability of mild solutions to SPDEs with respect to the initial datum
Sharpness of Lenglart's domination inequality and a sharp monotone version
Stochastic wave equation with Lévy white noise
Maximal inequalities for stochastic convolutions driven by compensated Poisson random measures in Banach spaces
A weak solution theory for stochastic Volterra equations of convolution type
The stochastic heat equation with multiplicative Lévy noise: existence, moments, and intermittency
The almost-sure asymptotic behavior of the solution to the stochastic heat equation with Lévy noise
Intermittency for the stochastic heat equation with Lévy noise
Path properties of the solution to the stochastic heat equation with Lévy noise
A landscape of peaks: the intermittency islands of the stochastic heat equation with Lévy noise
Fractional calculus and pathwise integration for Volterra processes driven by Lévy and martingale noise