A generalisation of the Burkholder-Davis-Gundy inequalities

DOI10.1214/22-ECP493MaRDI QIDQ6350237arXivFDO

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

Publication date 30 September 2020

Mathematics Subject Classification ID

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

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 $mathbbE[M{]}_{au}^{q/2}$, for any stopping time $au$ and $qge2$, 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 $|M^{\ast }{|}^q$ 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.

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