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A submartingale inequality


Author: Changsun Choi
Journal: Proc. Amer. Math. Soc. 124 (1996), 2549-2553
MSC (1991): Primary 60G42; Secondary 60E15
MathSciNet review: 1353381
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Abstract: This paper extends Burkholder's inequality between a nonnegative submartingale and a process strongly differentially subordinate to it.


References [Enhancements On Off] (What's this?)

  • 1. D. L. Burkholder, Boundary value problems and sharp inequalities for martingale transforms, Ann. Probab. 12 (1984), no. 3, 647–702. MR 744226
  • 2. Donald L. Burkholder, Sharp inequalities for martingales and stochastic integrals, Astérisque 157-158 (1988), 75–94. Colloque Paul Lévy sur les Processus Stochastiques (Palaiseau, 1987). MR 976214
  • 3. Donald L. Burkholder, Strong differential subordination and stochastic integration, Ann. Probab. 22 (1994), no. 2, 995–1025. MR 1288140

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Additional Information

Changsun Choi
Affiliation: Department of Mathematics, University of Illinois, Urbana, Illinois 61801
Address at time of publication: Global Analysis Research Center, Department of Mathematics, College of Natural Sciences, Seoul National University, Seoul 151-742, South Korea
Email: choi@math.uiuc.edu, cchoi@math.snu.ac.kr

DOI: https://doi.org/10.1090/S0002-9939-96-03617-9
Keywords: Submartingale, differential subordination, conditional differential subordination, norm inequality
Received by editor(s): February 1, 1995
Communicated by: Richard Durrett
Article copyright: © Copyright 1996 American Mathematical Society