Algebraic polynomials and moments of stochastic integrals

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.

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Year of publication:	2011
Authors:	Langovoy, Mikhail
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 81.2011, 6, p. 627-631
Publisher:	Elsevier
Subject:	Stochastic integral \| Polynomial \| Burkholder–Davis–Gundy inequalities \| Moments of stochastic integrals \| Stochastic processes

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010576132