Electronic Journal of Probability

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

Adam Osekowski

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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.

Article information

Source
Electron. J. Probab., Volume 16 (2011), paper no. 19, 531-551.

Dates
Accepted: 27 March 2011
First available in Project Euclid: 1 June 2016

Permanent link to this document
https://projecteuclid.org/euclid.ejp/1464820188

Digital Object Identifier
doi:10.1214/EJP.v16-865

Mathematical Reviews number (MathSciNet)
MR2786641

Zentralblatt MATH identifier
1226.60063

Subjects
Primary: 60G44: Martingales with continuous parameter
Secondary: 60G42: Martingales with discrete parameter

Keywords
Martingale differential subordination orthogonal martingales moment inequality stochastic integral Brownian motion best constants

Rights
This work is licensed under aCreative Commons Attribution 3.0 License.

Citation

Osekowski, Adam. Sharp and Strict $L^p$-Inequalities for Hilbert-Space-Valued Orthogonal Martingales. Electron. J. Probab. 16 (2011), paper no. 19, 531--551. doi:10.1214/EJP.v16-865. https://projecteuclid.org/euclid.ejp/1464820188


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