A Sharp and Strict $L^p$-Inequality for Stochastic Integrals

D. L. Burkholder

doi:10.1214/aop/1176992268

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Home > Journals > Ann. Probab. > Volume 15 > Issue 1 > Article

January, 1987 A Sharp and Strict $L^p$-Inequality for Stochastic Integrals

D. L. Burkholder

Ann. Probab. 15(1): 268-273 (January, 1987). DOI: 10.1214/aop/1176992268

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Abstract

A new proof of a sharp $L^p$-inequality for stochastic integrals is given that makes it possible to show that strict inequality holds in all nontrivial cases.

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D. L. Burkholder. "A Sharp and Strict $L^p$-Inequality for Stochastic Integrals." Ann. Probab. 15 (1) 268 - 273, January, 1987. https://doi.org/10.1214/aop/1176992268

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Published: January, 1987

First available in Project Euclid: 19 April 2007

zbMATH: 0617.60042

MathSciNet: MR877602

Digital Object Identifier: 10.1214/aop/1176992268

Subjects:

Primary: 60H05

Secondary: 26D15 , 60G44

Keywords: $L^p$-inequality , biconcave function , martingale , stochastic integral , supermartingale

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Ann. Probab.

Vol.15 • No. 1 • January, 1987

Institute of Mathematical Statistics

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D. L. Burkholder "A Sharp and Strict $L^p$-Inequality for Stochastic Integrals," The Annals of Probability, Ann. Probab. 15(1), 268-273, (January, 1987)

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