Saved in:
| Main Author: | |
|---|---|
| Format: | Preprint |
| Published: |
2025
|
| Subjects: | |
| Online Access: | https://arxiv.org/abs/2505.07389 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1866912935632175104 |
|---|---|
| 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 |