Strong Differential Subordination and Sharp Inequalities for Orthogonal Processes

Adam Osękowski ()
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Adam Osękowski: University of Warsaw

Journal of Theoretical Probability, 2009, vol. 22, issue 4, 837-855

Abstract: Abstract We introduce a strong differential α-subordination for continuous-time processes, which generalizes this notion from the discrete-time setting, due to Burkholder and Choi. Then we determine the best constants in the L p estimates for a nonnegative submartingale and its strong α-subordinate under an additional assumption on the orthogonality of these two processes.

Keywords: Martingale; Submartingale; Orthogonal processes; Differential subordination; Strong differential subordination; 60G44; 60G48 (search for similar items in EconPapers)
Date: 2009
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DOI: 10.1007/s10959-009-0236-4

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