The Burkholder-Davis-Gundy Inequality for Enhanced Martingales

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dc.creatorFriz, Peter
dc.creatorVictoir, Nicolas
dc.date2006-08-31
dc.date.accessioned2026-07-07T07:22:22Z
dc.date.available2026-07-07T07:22:22Z
dc.descriptionMulti-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.
dc.identifierhttps://arxiv.org/abs/math/0608783
dc.identifierhttp://arxiv.org/abs/math/0608783
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/115639
dc.subjectProbability
dc.subject60H99
dc.titleThe Burkholder-Davis-Gundy Inequality for Enhanced Martingales
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