Burkholder's submartingales from a stochastic calculus perspective

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dc.creatorPeccati, Giovanni
dc.creatorYor, Marc
dc.date2007-05-24
dc.date.accessioned2026-07-07T08:03:08Z
dc.date.available2026-07-07T08:03:08Z
dc.descriptionWe provide a simple proof, as well as several generalizations, of a recent result by Davis and Suh, characterizing a class of continuous submartingales and supermartingales that can be expressed in terms of a squared Brownian motion and of some appropriate powers of its maximum. Our techniques involve elementary stochastic calculus, as well as the Doob-Meyer decomposition of continuous submartingales. These results can be used to obtain an explicit expression of the constants appearing in the Burkholder-Davis-Gundy inequalities. A connection with some balayage formulae is also established.
dc.description7 pages
dc.identifierhttps://arxiv.org/abs/0705.3633
dc.identifierhttp://arxiv.org/abs/0705.3633
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/129469
dc.subjectProbability
dc.subject60G15, 60G44
dc.titleBurkholder's submartingales from a stochastic calculus perspective
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