Algebraic polynomials and moments of stochastic integrals

Details Algebraic polynomials and moments of stochastic integrals Algebraic polynomials and moments of stochastic integrals

2011-02-24

arxiv.org/abs/1102.4996v1

Statistics & Probability Letters, Volume 81, Issue 6, June 2011, Pages 627-631, ISSN 0167-7152

Mathematics

Probability

Published in Statistics and Probability Letters by the Elsevier. Permanent link: http://dx.doi.org/10.1016/j.spl.2011.01.022 P

Scientific paper

10.1016/j.spl.2011.01.022

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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