X: 18, 401-413, LNM 511 (1976)
PRATELLI, Maurizio
Sur certains espaces de martingales de carré intégrable (
Martingale theory)
The main purpose of this paper is to define spaces similar to the $H^p$ and $BMO$ spaces (which we may call here $h^p$ and $bmo$) using the angle bracket of a local martingale instead of the square bracket (this concerns only locally square integrable martingales). It is shown that for $1<p<\infty$ $h^p$ is reflexive with dual the natural $h^q$, and that the conjugate (dual) space of $h^1$ is $bmo$
Comment: This paper contains some interesting martingale inequalities, which are developed in Lenglart-Lépingle-Pratelli,
1404. An error is corrected in
1250Keywords: Inequalities,
Angle bracket,
$BMO$Nature: Original
Retrieve article from Numdam
X: 19, 414-421, LNM 511 (1976)
PRATELLI, Maurizio
Espaces fortement stables de martingales de carré intégrable (
Martingale theory,
Stochastic calculus)
This paper studies closed subspaces of the Hilbert space of square integrable martingales which are stable under optional stochastic integration (see
1018)
Keywords: Stable subpaces,
Square integrable martingales,
Stochastic integrals,
Optional stochastic integralsNature: Original Retrieve article from Numdam
XII: 01, 1-19, LNM 649 (1978)
PRATELLI, Maurizio
Une version probabiliste d'un théorème d'interpolation de G. Stampacchia (
Martingale theory,
Functional analysis)
This theorem is similar to the Marcinkievicz interpolation theorem, in the sense that at one endpoint a weak $L^p$ inequality is involved, but at the other endpoint the spaces involved are some $L^p$ and $BMO$. It concerns linear operators only, not sublinear ones like the Marcinkiewicz theorem. A closely related result, concerning the discrete-time case, had been proved earlier by Stroock,
Comm Pure Appl. Math.,
26, 1973
Keywords: Interpolation,
$BMO$Nature: Original Retrieve article from Numdam
XIII: 09, 126-131, LNM 721 (1979)
PRATELLI, Maurizio
Le support exact du temps local d'une martingale continue (
Martingale theory)
It is well known in the Brownian case that the zero set and the support of the local time are the same. For a continuous local martingale $(X_t)$ with zero set $H$ and local time $(L_t)$, it is shown that the support of $dL$ is exactly the perfect kernel of the boundary of $H$
Keywords: Local timesNature: Original Retrieve article from Numdam
XIV: 04, 26-48, LNM 784 (1980)
LENGLART, Érik;
LÉPINGLE, Dominique;
PRATELLI, Maurizio
Présentation unifiée de certaines inégalités de la théorie des martingales (
Martingale theory)
This paper is a synthesis of many years of work on martingale inequalities, and certainly one of the most influential among the papers which appeared in these volumes. It is shown how all main inequalities can be reduced to simple principles: 1) Basic distribution inequalities between pairs of random variables (``Doob'', ``domination'', ``good lambda'' and ``Garsia-Neveu''), and 2) Simple lemmas from the general theory of processes
Comment: This paper has been rewritten as Chapter XXIII of Dellacherie-Meyer,
Probabilités et Potentiel E ; see also
1621. A striking example of the power of these methods is Barlow-Yor, {\sl Jour. Funct. Anal.}
49,1982
Keywords: Moderate convex functions,
Inequalities,
Martingale inequalities,
Burkholder inequalities,
Good lambda inequalities,
Domination inequalitiesNature: Original Retrieve article from Numdam
XVII: 14, 125-131, LNM 986 (1983)
PRATELLI, Maurizio
Majoration dans $L^p$ du type Métivier-Pellaumail pour les semimartingales Retrieve article from Numdam
XVII: 31, 311-320, LNM 986 (1983)
PRATELLI, Maurizio
La classe des semimartingales qui permettent d'intégrer les processus optionnels Retrieve article from Numdam
XXII: 10, 129-137, LNM 1321 (1988)
PRATELLI, Maurizio
Intégration stochastique et géométrie des espaces de Banach Retrieve article from Numdam
XXXIII: 14, 334-338, LNM 1709 (1999)
PRATELLI, Maurizio
An alternative proof of a theorem of Aldous concerning convergence in distribution for martingales Retrieve article from Numdam
XXXIX: 05, 119-135, LNM 1874 (2006)
DE DONNO, Marzia;
PRATELLI, Maurizio
Stochastic integration with respect to a sequence of semimartingales
XL: 22, 411-414, LNM 1899 (2007)
DE DONNO, Marzia;
PRATELLI, Maurizio
On a lemma by Ansel and Stricker
XLIII: 08, 215-219, LNM 2006 (2011)
PRATELLI, Maurizio
A Remark on the $1/H$-variation of the Fractional Brownian Motion (
Theory of processes)
Keywords: Fractional Brownian motion,
$p$-variation,
Ergodic theoremNature: Exposition
