Algebraic polynomials and moments of stochastic integrals

作者：Langovoy Mikhail^*

来源：Statistics & Probability Letters, 2011, 81(6): 627-631.

DOI：10.1016/j.spl.2011.01.022

• Stochastic integral
• Polynomial
• Burkholder-Davis-Gundy inequalities
• Moments of stochastic integrals
• Stochastic processes

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.

• 出版日期2011-6