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Maximal Coupling of Euclidean Brownian Motions

✍ Scribed by Elton P. Hsu, Karl-Theodor Sturm

Book ID
120888456
Publisher
Springer-Verlag
Year
2013
Tongue
English
Weight
463 KB
Volume
1
Category
Article
ISSN
2194-6701

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On some maximal inequalities for fractional Brownian motions
✍ Alexander Novikov; Esko Valkeila πŸ“‚ Article πŸ“… 1999 πŸ› Elsevier Science 🌐 English βš– 90 KB

We prove some maximal inequalities for fractional Brownian motions. These extend the Burkholder-Davis-Gundy inequalities for fractional Brownian motions. The methods are based on the integral representations of fractional Brownian motions with respect to a certain Gaussian martingale in terms of bet