Strong Differential Subordination and Stochastic Integration
Burkholder, Donald L.
Ann. Probab., Tome 22 (1994) no. 4, p. 995-1025 / Harvested from Project Euclid
Text on Project Euclid
PDF
Alt PDF
This paper contains sharp norm, maximal, escape and exponential inequalities for stochastic integrals in which the integrator is either a nonnegative submartingale or a nonnegative supermartingale. Analogous inequalities hold for Ito processes and for smooth functions on Euclidean domains.
Publié le : 1994-04-14
Classification:  Stochastic integral,  martingale,  semimartingale,  norm inequality,  maximal inequality,  escape inequality,  exponential inequality,  differential subordination,  conditional differential subordination,  subharmonic function,  superharmonic function,  boundary value problems,  60H05,  60G42,  60G46,  31B05,  60E15 
@article{1176988738,
     author = {Burkholder, Donald L.},
     title = {Strong Differential Subordination and Stochastic Integration},
     journal = {Ann. Probab.},
     volume = {22},
     number = {4},
     year = {1994},
     pages = { 995-1025},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176988738}
}

Burkholder, Donald L. Strong Differential Subordination and Stochastic Integration. Ann. Probab., Tome 22 (1994) no. 4, pp.  995-1025. http://gdmltest.u-ga.fr/item/1176988738/