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arXiv · 1707.00109

$L^q$-valued Burkholder-Rosenthal inequalities and sharp estimates for stochastic integrals

Sjoerd Dirksen·Ivan Yaroslavtsev
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Abstract

We prove sharp maximal inequalities for $L^q$-valued stochastic integrals with respect to any Hilbert space-valued local martingale. Our proof relies on new Burkholder-Rosenthal type inequalities for martingales taking values in an $L^q$-space.

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Sjoerd Dirksen, Ivan Yaroslavtsev. 2017-07-01. $L^q$-valued Burkholder-Rosenthal inequalities and sharp estimates for stochastic integrals. https://doi.org/10.1112/plms.12277

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