Sharp Martingale And Semimartingale Inequalities
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Sharp Martingale and Semimartingale Inequalities
Author: Adam Osękowski
language: en
Publisher: Springer Science & Business Media
Release Date: 2012-08-14
This monograph is a presentation of a unified approach to a certain class of semimartingale inequalities, which can be regarded as probabilistic extensions of classical estimates for conjugate harmonic functions on the unit disc. The approach, which has its roots in the seminal works of Burkholder in the 80s, enables to deduce a given inequality for semimartingales from the existence of a certain special function with some convex-type properties. Remarkably, an appropriate application of the method leads to the sharp version of the estimate under investigation, which is particularly important for applications. These include the theory of quasiregular mappings (with deep implications to the geometric function theory); the boundedness of two-dimensional Hilbert transform and a more general class of Fourier multipliers; the theory of rank-one convex and quasiconvex functions; and more. The book is divided into a few separate parts. In the introductory chapter we present motivation for the results and relate them to some classical problems in harmonic analysis. The next part contains a general description of the method, which is applied in subsequent chapters to the study of sharp estimates for discrete-time martingales; discrete-time sub- and supermartingales; continuous time processes; the square and maximal functions. Each chapter contains additional bibliographical notes included for reference.
Inequalities and Extremal Problems in Probability and Statistics
Inequalities and Extremal Problems in Probability and Statistics: Selected Topics presents various kinds of useful inequalities that are applicable in many areas of mathematics, the sciences, and engineering. The book enables the reader to grasp the importance of inequalities and how they relate to probability and statistics. This will be an extremely useful book for researchers and graduate students in probability, statistics, and econometrics, as well as specialists working across sciences, engineering, financial mathematics, insurance, and mathematical modeling of large risks. - Teaches users how to understand useful inequalities - Applicable across mathematics, sciences, and engineering - Presented by a team of leading experts
Bellman Function for Extremal Problems in BMO II: Evolution
Author: Paata Ivanisvili
language: en
Publisher: American Mathematical Soc.
Release Date: 2018-10-03
In a previous study, the authors built the Bellman function for integral functionals on the space. The present paper provides a development of the subject. They abandon the majority of unwanted restrictions on the function that generates the functional. It is the new evolutional approach that allows the authors to treat the problem in its natural setting. What is more, these new considerations lighten dynamical aspects of the Bellman function, in particular, the evolution of its picture.