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Algebraic polynomials and moments of stochastic integrals

By Mikhail A. Langovoy

Abstract

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.Comment: Published in Statistics and Probability Letters by the Elsevier. Permanent link: http://dx.doi.org/10.1016/j.spl.2011.01.022 Preliminary version of this paper appeared on October 27, 2009 as EURANDOM Report 2009-03

Topics: Mathematics - Probability, Mathematics - Algebraic Geometry
Year: 2011
DOI identifier: 10.1016/j.spl.2011.01.022
OAI identifier: oai:arXiv.org:1102.4996
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