Best constants in the weak type inequalities for a martingale conditional square function
type: Item
instance of: scholarly article
title: Best constants in the weak type inequalities for a martingale conditional square function
zbMATH Open document ID: 1248.60048
author: Adam Osȩkowski
published in: Statistics \& Probability Letters
publication date: 2012-07-05T00:00:00Z
review text: The author provides optimal-constant inequalities between the norms of a discrete-time Hilbert-valued martingale and both the norms of its square function and its conditional square function, respectively. The discrete-time set of the martingale is the set of the natural numbers, while the corresponding Hilbert space is separable. The sharpness of the corresponding constants is also examined, involving a sequence of independent Rademacher variables in both of the examples presented. The article is completed by references to the applications of the results, also involving sequences of independent Rademacher variables, to mathematical finance and areas of analysis.
Mathematics Subject Classification ID: 60G42
Mathematics Subject Classification ID: 60G44
zbMATH DE Number: 6053342
zbMATH Keywords: martingale
zbMATH Keywords: square function
zbMATH Keywords: conditional square function
zbMATH Keywords: weak-type inequality
reviewed by: Christos E. Kountzakis
MaRDI profile type: Publication
full work available at URL: j.spl.2012.01.024
OpenAlex ID: W2107008733
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DOI: 10.1016/J.SPL.2012.01.024
description: scientific article; zbMATH DE number 6053342