A Note on Some Martingale Inequalities

Jan Pleis, Andreas Rößler

Published 2020-06-29Version 1

We derive inequalities for time-discrete and time-continuous martingales that are similar to the well-known Burkholder inequalities. For the time-discrete case arbitrary martingales in $L^p(\Omega)$ are treated, whereas in the time-continuous case martingales defined by It\^o integrals w.r.t. a multi-dimensional Wiener process are considered. The estimates for the time-discrete martingales are proved to be sharp. Further, for time-continuous martingales the presented inequalities are generalizations of similar estimates proved by M. Zakai (1967) and E. Rio (2009) to the general multi-dimensional case. Especially, these inequalities possess smaller constants compared to the ones that result if the original Burkholder inequalities would be applied for such estimates. Therefore, the presented inequalities are highly valuable in, e.g., stochastic analysis and stochastic numerics.