Some Orlicz-norm inequalities for martingales

Yanbo Ren

Statistics & Probability Letters, 2009, vol. 79, issue 9, 1238-1241

Abstract: In this paper, we show some orlicz-norm inequalities for martingales, which are [Phi]-extensions of some classical inequalities in martingale Hp theory. As applications, a new simple proof of Burkholder-Davis-Gundy inequality in Orlicz-norm form is shown, and the equivalence between Orlicz martingale spaces and is obtained.

Date: 2009
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