A matrix Burkholder-Davis-Gundy inequality
Fuente:
arXiv
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| Format: | Preprint |
| Veröffentlicht: |
2025
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| _version_ | 1866912935632175104 |
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| author | Maître, Tom |
| author_facet | Maître, Tom |
| contents | We prove an inequality for the spectral norm of matrix valued stochastic integrals. This inequality can be seen either as a non-commutative version of the Burkholder-Davis-Gundy inequality or as an extension of the non-commutative Khintchine inequality of Lust-Piquard to stochastic integrals. The proof relies on a version of Freedman's inequality for matrix valued martingales. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2505_07389 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | A matrix Burkholder-Davis-Gundy inequality Maître, Tom Probability We prove an inequality for the spectral norm of matrix valued stochastic integrals. This inequality can be seen either as a non-commutative version of the Burkholder-Davis-Gundy inequality or as an extension of the non-commutative Khintchine inequality of Lust-Piquard to stochastic integrals. The proof relies on a version of Freedman's inequality for matrix valued martingales. |
| title | A matrix Burkholder-Davis-Gundy inequality |
| topic | Probability |
| url | https://arxiv.org/abs/2505.07389 |