Stochastic integrals and BDG's inequalities in Orlicz-type spaces
Abstract
In this paper we extend an inequality of Lenglart, L\'epingle and Pratelli [Lemma 1.1]LLP to general continuous adapted stochastic processes with values in topology spaces. By this inequality we show Burkholder-Davies-Gundy's inequality for stochastic integrals in Orlicz-type spaces (a class of quasi-Banach spaces) with respect to cylindrical Brownian motions.
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