The Burkholder-Davis-Gundy inequality for enhanced martingales

Lecture Notes in Mathematics

Volumn 1934, Issue , 2008, Pages 421-438

  Friz, Peter ^a   Victoir, Nicolas ^a  

^a UNIVERSITY OF CAMBRIDGE   (United Kingdom)

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[No Author keywords available]

Indexed keywords

EID: 51849147538     PISSN: 00758434     EISSN: None     Source Type: Book Series    
DOI: 10.1007/978-3-540-77913-1_20     Document Type: Conference Paper

References (11)

1. Coutin Laure, Lejay Antoine: Semi-martingales and rough paths theory, Electronic Journal of Probability, Vol. 10, Paper 23, 2005.
2. Friz, Peter; Victoir, Nicolas: Approximations of the Brownian Rough Path with Applications to Stochastic Analysis, Annales de l'Institut Henri Poincare (B), Probability and Statistics, Volume 41, Issue 4, 703-724, 2005.
3. Friz, Peter; Victoir, Nicolas: On the notion of Geometric Rough Paths, Probab. Theory Relat. Fields, Vol 136 Nr 3, 395-416, 2006.
4. Lenglart Érik, Lépingle Dominique, Pratelli Maurizio: Présentation unifiée de certaines inégalités de la théorie des martingales. LNM 1404, 1980.
5. Lépingle Dominique: La variation d'ordre p des semi-martingales, Z. Wahrscheinlichkeitstheorie und Verw. Gebiete, Volume 36, Issue 4,1976.
6. Lyons, Terry: Differential equations driven by rough signals. Rev. Mat. Iberoamericana 14, no. 2, 215-310, 1998.
7. Lyons, Terry; Qian, Zhongmin: System Control and Rough Paths, OUP, 2002.
8. Pisier, Gilles; Xu, Quanhua: The Strong p -Variation of Martingales and Orthogonal Series, Probab. Theory Relat. Fields, Vol 77, 497-514, 1988.
9. Revuz Daniel, Yor Marc: Continuous Martingales and Brownian Motion, 3rd edition, Springer, 1999.
10. Rogers LCG, Williams David: Diffusions, Markov Processes, and Martingales: Itô Calculus, CUP, 2000.
11. Stricker, Christophe: Sur la p-variation des surmartingales. Séminaire de probabilités de Strasbourg, 13 (1979), p. 233-237