Stochastic integrals and BDG's inequalities in Orlicz-type spaces
Probability
2016-06-15 v1
Abstract
In this paper we extend an inequality of Lenglart, L\'epingle and Pratelli \cite[Lemma 1.1]{LLP} to general continuous adapted stochastic processes with values in topology spaces. By this inequality we show Burkholder-Davies-Gundy's inequality for stochastic integrals in Orlicz-type spaces (a class of quasi-Banach spaces) with respect to cylindrical Brownian motions.
Keywords
Cite
@article{arxiv.1606.04350,
title = {Stochastic integrals and BDG's inequalities in Orlicz-type spaces},
author = {Yingchao Xie and Xicheng Zhang},
journal= {arXiv preprint arXiv:1606.04350},
year = {2016}
}
Comments
17pages