Related papers: On maximal inequalities for purely discontinuous m…
We prove maximal inequalities for $L_q$-valued martingales obtained by stochastic integration with respect to compensated random measures. A version of these estimates for integrals with respect to compensated Poisson random measures were…
As an alternative to the well-known methods of "chaining" and "bracketing" that have been developed in the study of random fields, a new method, which is based on a stochastic maximal inequality derived by using the Taylor expansion, is…
We obtain some maximal probability and moment inequalities for multidimensionally indexed demimartingales. Although the class of single-indexed demimartingales has been studied extensively, no significant amount of work has been done for…
As an alternative to the well-known methods of "chaining" and "bracketing" that have been developed in the study of random fields, a new method, which is based on a {\em stochastic maximal inequality} derived by using the formula for…
The note is devoted to estimates for convolutions appearing in some class of stochastic Volterra equations. Two maximal inequalities and exponential tail estimate are proved by the fractional method of infinite dimensional stochastic…
This note extends some results of Nishiyama [Ann. Probab. 28 (2000) 685--712]. A maximal inequality for stochastic integrals with respect to integer-valued random measures which may have infinitely many jumps on compact time intervals is…
We establish deviation inequalities for the maxima of partial sums of a martingale differences sequence, and of a strictly stationary orthomartingale random field. These inequalities can be used to establish complete convergence of…
The $L^p$ maximal inequalities for martingales are one of the classical results in the theory of stochastic processes. Here we establish the sharp moderate maximal inequalities for one-dimensional diffusion processes, which include the…
The aim of this paper is to propose new Rosenthal-type inequalities for moments of order higher than 2 of the maximum of partial sums of stationary sequences including martingales and their generalizations. As in the recent results by…
In this paper, we present a general framework for solving stochastic functional differential equations in infinite dimensions in the sense of martingale solutions, which can be applied to a large class of SPDE with finite delays, e.g.…
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…
Maximal inequalities refer to bounds on expected values of the supremum of averages of random variables over a collection. They play a crucial role in the study of non-parametric and high-dimensional estimators, and especially in the study…
In this paper, we study the existence and uniqueness of solution to a system of nonlinear fully coupled forward-backward doubly stochastic differential equations with Poisson jumps. Our work is established in infinite dimensional separable…
Uniform large deviation principles for positive functionals of all equivalent types of infinite dimensional Brownian motions acting together with a Poisson random measure are established. The core of our approach is a variational…
Jump inequalities are the $r=2$ endpoint of L\'epingle's inequality for $r$-variation of martingales. Extending earlier work by Pisier and Xu we interpret these inequalities in terms of Banach spaces which are real interpolation spaces.…
The paper concerns itself with establishing large deviation principles for a sequence of stochastic integrals and stochastic differential equations driven by general semimartingales in infinite-dimensional settings. The class of…
As an alternative to the well-known methods of "chaining" and "bracketing" that have been developed in the study of random fields, a new method, which is based on a stochastic maximal inequality derived by using It\^o's formula and on a new…
We study a class of martingale inequalities involving the running maximum process. They are derived from pathwise inequalities introduced by Henry_Labordere et al. (2013) and provide an upper bound on the expectation of a function of the…
In the paper we study sharp maximal inequalities for martingales and non-negative submartingales: if $f$, $g$ are martingales satisfying \[|\mathrm{d}g_n|\leq|\mathrm{d}f_n|,\qquad n=0,1,2,...,\] almost surely, then…
We examine the existence and uniqueness of invariant measures of a class of stochastic partial differential equations with Gaussian and Poissonian noise and its exponential convergence. This class especially includes a case of stochastic…