Limit case of Hardy-Littlewood-Sobolev inequality for martingales
We provide a version of the Stein-Weiss inequality for arbitrary martingales.
math.PR↗
arXiv subjects
Dmitry Yarcev
Publications and source records attributed to Dmitry Yarcev.
Fractional integration for irregular martingales
We suggest two versions of the Hardy--Littlewood--Sobolev inequality for discrete time martingales. In one version, the fractional integration operator is a martingale transform, however, it may vanish if the filtration is excessively irregular; the second version lacks the martingale property while being analytically meaningful for an arbitrary filtration.
math.PR↗