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On the Burkholder-Davis-Gundy inequalities for continuous martingales

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  • Ren, Yao-Feng

Abstract

Some improvements of the Burkholder-Davis-Gundy inequalities for continuous martingales are obtained. New constants for 0 =1 are sharpened.

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  • Ren, Yao-Feng, 2008. "On the Burkholder-Davis-Gundy inequalities for continuous martingales," Statistics & Probability Letters, Elsevier, vol. 78(17), pages 3034-3039, December.
    • Handle: RePEc:eee:stapro:v:78:y:2008:i:17:p:3034-3039
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    Cited by:

    1. Ren, Yaofeng & Shen, Jing, 2012. "A note on the domination inequalities and their applications," Statistics & Probability Letters, Elsevier, vol. 82(6), pages 1160-1168.
    2. Tahmasebi, M., 2014. "Smooth density for the solution of scalar SDEs with locally Lipschitz coefficients under Hörmander condition," Statistics & Probability Letters, Elsevier, vol. 85(C), pages 51-62.
    3. Gulisashvili, Archil, 2020. "Gaussian stochastic volatility models: Scaling regimes, large deviations, and moment explosions," Stochastic Processes and their Applications, Elsevier, vol. 130(6), pages 3648-3686.

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