A generalisation of the Burkholder-Davis-Gundy inequalities

DOI10.1214/22-ECP493arXiv2009.14672MaRDI QIDQ6350237FDOQ6350237

Authors: Ma. Elena Hernández-Hernández, S. D. Jacka

Publication date: 30 September 2020

Abstract: {Consider a c`adl`ag local martingale

M

with square brackets

[M]

. In this paper, we provide upper and lower bounds for expectations of the type

m a t h b b E [M]_{a u}^{q / 2}

, for any stopping time

a u

and

q g e 2

, in terms of predictable processes. This result can be thought of as a Burkholder-Davis-Gundy type inequality in the sense that it can be used to relate the expectation of the running maximum

| M^{*} |^{q}

to the expectation of the dual previsible projections of the relevant powers of the associated jumps of

M

. The case for a class of moderate functions is also discussed.

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Generalizations of martingales (60G48) Martingales with continuous parameter (60G44)

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