✦ LIBER ✦

On some maximal inequalities for fractional Brownian motions

✍ Scribed by Alexander Novikov; Esko Valkeila

Publisher: Elsevier Science
Year: 1999
Tongue: English
Weight: 90 KB
Volume: 44
Category: Article
ISSN: 0167-7152
DOI: 10.1016/s0167-7152(98)00290-9

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✦ Synopsis

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 beta kernels.

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