On the maximal inequalities of Burkholder, Davis and Gundy
classification
🧮 math.PR
keywords
burkholderdavisgundyinequalitiesmaximalalmostappearcalculus
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We give a proof of the maximal inequalities of Burkholder, Davis and Gundy for real as well as Hilbert-space-valued local martingales using almost only stochastic calculus. Some parts of the exposition, especially in the infinite dimensional case, appear to be original.
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