Sharp Martingale and Semimartingale Inequalities
This monograph presents a unified approach to a certain class of semimartingale inequalities, which can be regarded as probabilistic extensions of classical estimates for conjugate harmonic functions on the unit disc. The approach, which has its roots in the seminal works of Burkholder in the 1980s,...
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| Format: | eBook |
| Language: | English |
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Basel
Birkhäuser
2012, 2012
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| Edition: | 1st ed. 2012 |
| Series: | Monografie Matematyczne
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| Subjects: | |
| Online Access: | |
| Collection: | Springer eBooks 2005- - Collection details see MPG.ReNa |
Table of Contents:
- Preface.- 1. Introduction.- 2. Burkholder’s method.- 3. Martingale inequalities in discrete time.- 4. Sub- and supermartingale inequalities in discrete time.- 5. Inequalities in continuous time.- 6. Inequalities for orthogonal semimartingales.- 7. Maximal inequalities.- 8. Square function inequalities
- Appendix
- Bibliography