Kunita–Watanabe inequality

From Wikipedia, the free encyclopedia
Jump to: navigation, search

In stochastic calculus, the Kunita–Watanabe inequality is a generalization of the Cauchy–Schwarz inequality to integrals of stochastic processes.

Statement of the theorem[edit]

Let M, N be continuous local martingales and H, K measurable processes. Then

where the brackets indicates the quadratic variation and quadratic covariation operators. The integrals are understood in the Lebesgue–Stieltjes sense.

References[edit]