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Sharp and Strict $L^p$-Inequalities for Hilbert-Space-Valued Orthogonal Martingales


 
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1. Title Title of document Sharp and Strict $L^p$-Inequalities for Hilbert-Space-Valued Orthogonal Martingales
 
2. Creator Author's name, affiliation, country Adam Osekowski; University of Warsaw; Poland
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) Martingale; differential subordination; orthogonal martingales; moment inequality; stochastic integral; Brownian motion; best constants
 
3. Subject Subject classification 60G44; 60G42
 
4. Description Abstract The paper contains the proofs of sharp moment estimates for Hilbert-space valued martingales under the assumptions of differential subordination and orthogonality. The results generalize those obtained by Banuelos and Wang. As an application, we sharpen an inequality for stochastic integrals with respect to Brownian motion.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s)
 
7. Date (YYYY-MM-DD) 2011-03-27
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ejp.ejpecp.org/article/view/865
 
10. Identifier Digital Object Identifier 10.1214/EJP.v16-865
 
11. Source Journal/conference title; vol., no. (year) Electronic Journal of Probability; Vol 16
 
12. Language English=en
 
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