Sharp weak-type inequalities for differentially subordinated martingales
Copyright policy )Sharp weak-type inequalities for differentially subordinated martingales
Published in at http://dx.doi.org/10.3150/08-BEJ166 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm)
Let $M,N$ be real-valued martingales such that $N$ is differentially subordinate to $M$. The paper contains the proofs of the following weak-type inequalities: (i) If $M\geq0$ and $0
- University of Warsaw Poland
harmonic function, martingale, Probability (math.PR), FOS: Mathematics, Inequalities; stochastic orderings, Mathematics - Statistics Theory, Martingales with continuous parameter, Martingales with discrete parameter, Statistics Theory (math.ST), differential subordination, Mathematics - Probability
harmonic function, martingale, Probability (math.PR), FOS: Mathematics, Inequalities; stochastic orderings, Mathematics - Statistics Theory, Martingales with continuous parameter, Martingales with discrete parameter, Statistics Theory (math.ST), differential subordination, Mathematics - Probability
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