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Stochastic integrals and BDG's inequalities in Orlicz-type spaces

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arxiv 1606.04350 v1 pith:DHUAL424 submitted 2016-06-14 math.PR

Yingchao Xie , Xicheng Zhang This is my paper · ORCID
classification math.PR
keywords spacesinequalitystochasticintegralsorlicz-typeadaptedbrownianburkholder-davies-gundy
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In this paper we extend an inequality of Lenglart, L\'epingle and Pratelli \cite[Lemma 1.1]{LLP} to general continuous adapted stochastic processes with values in topology spaces. By this inequality we show Burkholder-Davies-Gundy's inequality for stochastic integrals in Orlicz-type spaces (a class of quasi-Banach spaces) with respect to cylindrical Brownian motions.

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