The Burkholder-Davis-Gundy Inequality for Enhanced Martingales

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Multi-dimensional continuous local martingales, enhanced with their stochastic area process, give rise to geometric rough paths with a.s. finite homogenous p-variation, p>2. Here we go one step further and establish quantitative bounds of the p-variation norm in the form of a BDG inequality. Our proofs are based on old ideas by Lepingle. We also discuss geodesic and piecewise linear approximations.

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Probability, 60H99

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http://salesiana.dossiersoluciones.com/handle/123456789/115639

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/math/0608783
 http://arxiv.org/abs/math/0608783

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arXiv