On the maximal inequalities of Burkholder, Davis and Gundy

Abstract

We give a proof of the maximal inequalities of Burkholder, Davis and Gundy for real as well as Hilbert-space-valued local martingales using almost only stochastic calculus. Some parts of the exposition, especially in the infinite dimensional case, appear to be original.

arXiv comment24 pages, no figures

Cited by in corpus (1)

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