Burkholder's function and a weighted $L^2$ bound for stochastic integrals

Rodrigo Banuelos, Michal Brzozowski, Adam Osekowski

Let $X$ be a continuous-path martingale and let $Y$ be a stochastic integral, with respect to $X$, of some predictable process with values in $[-1,1]$. We provide an explicit formu…