Abstract for the talk on 25.02.2019 (14:00 h)

Arbeitsgemeinschaft ANGEWANDTE ANALYSIS

Ivan Yaroslavtsev (TU Delft)
Burkholder-Davis-Gundy inequalities and stochastic integration in Banach spaces

In 1970s Burkholder, Davis, and Gundy proved the following inequalities which connect the Lp-norm of a martingale with its quadratic variation:
????sup |Mt |p ≂p ???? [M ]p∞∕2,1 ≤ p < ∞,   t≥0

where M is a real-valued martingale and [M] is the quadratic variation of M. These inequalities are known to be exceptionally important for stochastic integration theory as they yield sharp estimates for real-valued stochastic integrals. In this talk we present Burkholder-Davis-Gundy inequalities for martingales with values in general Banach spaces. As a corollary, we extend the theory of stochastic integration with respect to a general martingale to infinite dimensions.

 

27.02.2019, 02:30