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Sharp Norm Comparison of Martingale Maximal Functions and Stochastic Integrals

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Abstract

Much of this paper will be devoted to answering a question about stochastic integrals, Question 1 below. Question 2 is even more basic. The primary goal is to introduce a method that can be used to study these and other questions about martingale maximal functions.

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References

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Author information

Authors and Affiliations

  1. Department of Mathematics and Department of Statistics, Purdue University, West Lafayette, IN, 47907-2068, USA

    Burgess Davis

  2. Department of Mathematics, University of Illinois, Urbana, IL, 61801, USA

    Renming Song

Authors
  1. Burgess Davis
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  2. Renming Song
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Correspondence to Burgess Davis .

Editor information

Editors and Affiliations

  1. , Department of Mathematics and, Purdue University, N. University Street 150, West Lafayette, 47907-2068, Indiana, USA

    Burgess Davis

  2. , Department of Mathematics, University of Illinois, Urbana, W. Green St. 1409, Urbana, 61801, Illinois, USA

    Renming Song

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Davis, B., Song, R. (2011). Sharp Norm Comparison of Martingale Maximal Functions and Stochastic Integrals. In: Davis, B., Song, R. (eds) Selected Works of Donald L. Burkholder. Selected Works in Probability and Statistics. Springer, New York, NY. https://doi.org/10.1007/978-1-4419-7245-3_36

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