Remarks on moment inequalities and identities for martingales

DOI10.1016/j.spl.2013.01.011zbMath1269.60046OpenAlexW2061886087MaRDI QIDQ1950780

Alexander Novikov, Albert N. Shiryaev

Publication date: 13 May 2013

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2013.01.011

zbMATH Keywords

moment inequalitieslocal martingalesmeasure of jumps

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Martingales with continuous parameter (60G44)

Related Items (1)

Maximal inequalities and some applications

Cites Work

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• Algebraic polynomials and moments of stochastic integrals
• On the Hellinger type distances for filtered experiments
• On the \(L^p\) norms of stochastic integrals and other martingales
• On Discontinuous Martingales
• On Moment Inequalities for Stochastic Integrals
• On Stopping Times for a Wiener Process

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