Weighted L\'epingle inequality
Probability
2022-01-04 v2 Classical Analysis and ODEs
Abstract
We prove an estimate for weighted -th moments of the pathwise -variation of a martingale in terms of the characteristic of the weight. The novelty of the proof is that we avoid real interpolation techniques.
Keywords
Cite
@article{arxiv.1908.05937,
title = {Weighted L\'epingle inequality},
author = {Pavel Zorin-Kranich},
journal= {arXiv preprint arXiv:1908.05937},
year = {2022}
}
Comments
v2: 6 pages, added statement of the vector-valued L\'epingle inequality in Remark 3.5