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Scientific session of the Steklov Mathematical Institute of RAS dedicated to the results of 2018
November 21, 2018 15:30–15:45, Moscow, Steklov Mathematical Institute of RAS, Conference Hall (8 Gubkina)
 


A maximal inequality for fractional Brownian motions

P. A. Yaskov
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MP4 236.6 Mb

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P. A. Yaskov
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Abstract: We extend the Burkholder-Davis-Gundy inequalities for fractional Brownian motions with the Hurst index less than 1/2, completing the proof of Novikov-Valkeila's conjecture that these inequalities hold for arbitrary fractional Brownian motion. The latter has been an open problem for almost two decades.

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