FRACTIONAL INTEGRATION FOR IRREGULAR MARTINGALES

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FRACTIONAL INTEGRATION FOR IRREGULAR MARTINGALES. / Stolyarov, Dmitriy; Yarcev, Dmitry.

In: Tohoku Mathematical Journal, Vol. 74, No. 2, 2022, p. 253-261.

Research output: Contribution to journal › Article › peer-review

Author

Stolyarov, Dmitriy ; Yarcev, Dmitry. / FRACTIONAL INTEGRATION FOR IRREGULAR MARTINGALES. In: Tohoku Mathematical Journal. 2022 ; Vol. 74, No. 2. pp. 253-261.

BibTeX

@article{636e6452dbf14e8e974b2c30192e3184,

title = "FRACTIONAL INTEGRATION FOR IRREGULAR MARTINGALES",

abstract = "We suggest two versions of the Hardy-Littlewood-Sobolev inequality for discrete time martingales. In one version, the fractional integration operator is a martingale transform, however, it may vanish if the filtration is excessively irregular; the second version lacks the martingale property while being analytically meaningful for an arbitrary filtration.",

keywords = "Fractional integration, martingales",

author = "Dmitriy Stolyarov and Dmitry Yarcev",

year = "2022",

doi = "10.2748/tmj.20210104",

language = "English",

volume = "74",

pages = "253--261",

journal = "Tohoku Mathematical Journal",

issn = "0040-8735",

publisher = "Tohoku University, Mathematical Institute",

number = "2",

}

RIS

TY - JOUR

T1 - FRACTIONAL INTEGRATION FOR IRREGULAR MARTINGALES

AU - Stolyarov, Dmitriy

AU - Yarcev, Dmitry

PY - 2022

Y1 - 2022

N2 - We suggest two versions of the Hardy-Littlewood-Sobolev inequality for discrete time martingales. In one version, the fractional integration operator is a martingale transform, however, it may vanish if the filtration is excessively irregular; the second version lacks the martingale property while being analytically meaningful for an arbitrary filtration.

AB - We suggest two versions of the Hardy-Littlewood-Sobolev inequality for discrete time martingales. In one version, the fractional integration operator is a martingale transform, however, it may vanish if the filtration is excessively irregular; the second version lacks the martingale property while being analytically meaningful for an arbitrary filtration.

KW - Fractional integration

KW - martingales

UR - http://www.scopus.com/inward/record.url?scp=85135143642&partnerID=8YFLogxK

U2 - 10.2748/tmj.20210104

DO - 10.2748/tmj.20210104

M3 - Article

AN - SCOPUS:85135143642

VL - 74

SP - 253

EP - 261

JO - Tohoku Mathematical Journal

JF - Tohoku Mathematical Journal

SN - 0040-8735

IS - 2

ER -

ID: 85248921