On the Iterated Martingale Transforms

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概要

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• Let f = (fn ,Fn ) n≥0 be a martingale on some filtered complete probability space (Ω,F,P ) with the usual conditions. We define the iterated martingale transforms I (m)(f ) = (In(m), (Fn )) (m ≥1) with respect to f, the discrete analogues of the iterated stochastic integrals. We obtain the Lp (1≤p)-estimates of I (m)(f ) ||I (m)*||p ≤ (4mp)m ||S m (f )||p and we also characterize a continuous martingale by the limit of the iterated martingale transforms.

• 東北大学の論文

著者

• Yan Litan

  Department Of Mathematics Collede Of Science Donghua University China

関連論文

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