Yingchao Xie, Xicheng Zhang
Published 2016-06-14Version 1
In this paper we extend an inequality of Lenglart, L\'epingle and Pratelli \cite[Lemma 1.1]{LLP} to general continuous adapted stochastic processes with values in topology spaces. By this inequality we show Burkholder-Davies-Gundy's inequality for stochastic integrals in Orlicz-type spaces (a class of quasi-Banach spaces) with respect to cylindrical Brownian motions.
Sharp supremum and Hölder bounds for stochastic integrals indexed by a parameter
A note on stochastic integrals as $L^2$-curves
Stochastic integrals for spde's: a comparison
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