Pointwise Properties of Martingales with Values in Banach Function Spaces

Mark Veraar; Ivan Yaroslavtsev

doi:10.1007/978-3-030-26391-1_16

Pointwise Properties of Martingales with Values in Banach Function Spaces

Mark Veraar^*, Ivan Yaroslavtsev

^*Corresponding author for this work

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Research output: Chapter in Book/Conference proceedings/Edited volume › Chapter › Scientific › peer-review

5 Citations (Scopus)

34 Downloads (Pure)

Abstract

In this paper we consider local martingales with values in a UMD Banach function space. We prove that such martingales have a version which is a martingale field. Moreover, a new Burkholder–Davis–Gundy type inequality is obtained.

Original language	English
Title of host publication	Progress in Probability
Publisher	Birkhauser Verlag Basel
Pages	321-340
Number of pages	20
DOIs	https://doi.org/10.1007/978-3-030-26391-1_16
Publication status	Published - 2019

Publication series

Name	Progress in Probability
Volume	74
ISSN (Print)	1050-6977
ISSN (Electronic)	2297-0428

Bibliographical note

Green Open Access added to TU Delft Institutional Repository ‘You share, we take care!’ – Taverne project https://www.openaccess.nl/en/you-share-we-take-care
Otherwise as indicated in the copyright section: the publisher is the copyright holder of this work and the author uses the Dutch legislation to make this work public.

Keywords

Burkholder-Davis-Gundy inequalities
Lattice maximal function
Local martingale
Quadratic variation
UMD Banach function spaces

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10.1007/978-3-030-26391-1_16

Veraar-Yaroslavtsev2019_Chapter_PointwisePropertiesOfMartingalFinal published version, 310 KB

Cite this

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author = "Mark Veraar and Ivan Yaroslavtsev",

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KW - Burkholder-Davis-Gundy inequalities

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KW - Local martingale

KW - Quadratic variation

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ER -

Pointwise Properties of Martingales with Values in Banach Function Spaces

Abstract

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Keywords

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