Sharp norm inequalities for stochastic integrals in which the integrator is a nonnegative supermartingale

• Autorzy: Osękowski A.
• Języki publikacji: EN

Abstrakty

EN

The paper is devoted to sharp inequalities between moments of nonnegative supermartingales and their strong subordinates. Analogous estimates hold true for stochastic integrals with respect to a nonnegative right-continuous supermartingale. Similar inequalities are established for smooth functions on Euclidean domains.

Słowa kluczowe

EN

stochastic integral; martingale; supermartingale; norm inequality; differential subordination; conditional differential subordination; superharmonic function; boundary value problem

• Wydawca: Wrocław University of Science and Technology
• Czasopismo: Probability and Mathematical Statistics
• Rocznik: 2009
• Tom: Vol. 29, Fasc. 1
• Strony: 29--42
• Opis fizyczny: Bibliogr. 12 poz.

Twórcy

autor

Osękowski A.

• Department of Mathematics, Informatics and Mechanics, University of Warsaw, Banacha 2, 02-097 Warsaw, Poland

Bibliografia

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