A Sharp and Strict $L^p$-Inequality for Stochastic Integrals
Burkholder, D. L.
Ann. Probab., Tome 15 (1987) no. 4, p. 268-273 / Harvested from Project Euclid
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A new proof of a sharp $L^p$-inequality for stochastic integrals is given that makes it possible to show that strict inequality holds in all nontrivial cases.
Publié le : 1987-01-14
Classification:  Stochastic integral,  martingale,  supermartingale,  biconcave function,  $L^p$-inequality,  60H05,  60G44,  26D15 
@article{1176992268,
     author = {Burkholder, D. L.},
     title = {A Sharp and Strict $L^p$-Inequality for Stochastic Integrals},
     journal = {Ann. Probab.},
     volume = {15},
     number = {4},
     year = {1987},
     pages = { 268-273},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176992268}
}

Burkholder, D. L. A Sharp and Strict $L^p$-Inequality for Stochastic Integrals. Ann. Probab., Tome 15 (1987) no. 4, pp.  268-273. http://gdmltest.u-ga.fr/item/1176992268/