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A submartingale inequality
Author(s):
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:
- 1.
- D. L. Burkholder, Boundary value problems and sharp inequalities for martingale transforms, Ann. Probab. 12 (1984), 647--702. MR 86b:60080
- 2.
- ------, Sharp inequalities for martingales and stochastic integrals. Colloque Paul Lévy sur les processus stochastiques, Astérisque 157-158 (1988), 75--94. MR 90b:60051
- 3.
- ------, Strong differential subordination and stochastic integration, Ann. Probab. 22 (1994), 995--1025. MR 95h:60085
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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:
10.1090/S0002-9939-96-03617-9
PII:
S 0002-9939(96)03617-9
Keywords:
Submartingale,
differential subordination,
conditional differential subordination,
norm inequality
Received by editor(s):
February 1, 1995
Communicated by:
Richard Durrett
Copyright of article:
Copyright
1996,
American Mathematical Society
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