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  Algebraic polynomials and moments of stochastic integrals

Langovoy, M. (2011). Algebraic polynomials and moments of stochastic integrals. Statistics Probability Letters, 81(6), 627-631. doi:10.1016/j.spl.2011.01.022.

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Item Permalink: https://hdl.handle.net/11858/00-001M-0000-0013-BB4E-F Version Permalink: https://hdl.handle.net/11858/00-001M-0000-0013-BB4F-D
Genre: Journal Article

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Langovoy, M1, Author           
Affiliations:
1Department Empirical Inference, Max Planck Institute for Biological Cybernetics, Max Planck Society, ou_1497795              

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 Abstract: We propose an algebraic method for proving estimates on moments of stochastic integrals. The method uses qualitative properties of roots of algebraic polynomials from certain general classes. As an application, we give a new proof of a variation of the Burkholder–Davis–Gundy inequality for the case of stochastic integrals with respect to real locally square integrable martingales. Further possible applications and extensions of the method are outlined.

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 Dates: 2011-06
 Publication Status: Issued
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 Identifiers: URI: http://www.sciencedirect.com/science?_ob=MImg_imagekey=B6V1D-5246VC7-1-1_cdi=5672_user=29041_pii=S016771521100037X_origin=gateway_coverDate=062F302F2011_sk=999189993view=cwchp=dGLbVzz-zSkWbmd5=a329d6430f85a8d3bd2200b951805f80ie=/sdarticle.pdf
DOI: 10.1016/j.spl.2011.01.022
BibTex Citekey: Langovoy2011
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Title: Statistics Probability Letters
Source Genre: Journal
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Pages: - Volume / Issue: 81 (6) Sequence Number: - Start / End Page: 627 - 631 Identifier: -