Year: 2020
Type: preprint
Abstract: Let $X$ be a continuous-path martingale and let $Y$ be a stochastic integral, with respect to $X$, of some predictable process with values in $[-1,1]$. We provide an explicit formula for Burkholder's function associated with the weighted $L^2$ bound $$ \|Y\|_{L^2(W)}\lesssim [w]_{A_2}\|X\|_{L^2(W)}.$$
Source: arXiv (Cornell University)
Authors: Banuelos, Rodrigo, Brzozowski, Michal, Osekowski, Adam
Institution: University of Warsaw
Language: English
Subfield: Applied Mathematics
Field: Mathematics
Domain: Physical Sciences
Open Access status: green
OpenAlex ID: W3010278269