An inequality for the predictable projection of an adapted process View Full Text


Ontology type: schema:Chapter      Open Access: True


Chapter Info

DATE

1995

AUTHORS

F. Delbaen , W. Schachermayer

ABSTRACT

Let (fn)n=1N be a stochastic process adapted to the filtration (Fnn=0N). Denoting by (gn)n=1N the predictable projection of this process, i.e., gn=En−1(fn) we show that the inequality or, in more abstract terms holds true for 1≤p≤q≤∞ (with the obvious interpretation in the case of p=∞ or q=∞). Several similar results, pertaining also to the case p>q, are known in the literature. The present result may have some interest in view of the following reasons: (1) the case p=1 and 2 More... »

PAGES

17-24

Book

TITLE

Séminaire de Probabilités XXIX

ISBN

978-3-540-60219-4
978-3-540-44744-3

Identifiers

URI

http://scigraph.springernature.com/pub.10.1007/bfb0094195

DOI

http://dx.doi.org/10.1007/bfb0094195

DIMENSIONS

https://app.dimensions.ai/details/publication/pub.1044575774


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