On the maximal inequalities of Burkholder, Davis and Gundy
Probability
2013-08-13 v1
Abstract
We give a proof of the maximal inequalities of Burkholder, Davis and Gundy for real as well as Hilbert-space-valued local martingales using almost only stochastic calculus. Some parts of the exposition, especially in the infinite dimensional case, appear to be original.
Keywords
Cite
@article{arxiv.1308.2418,
title = {On the maximal inequalities of Burkholder, Davis and Gundy},
author = {Carlo Marinelli and Michael Röckner},
journal= {arXiv preprint arXiv:1308.2418},
year = {2013}
}
Comments
24 pages, no figures