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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
DOI: https://doi.org/10.1090/S0002-9939-96-03617-9
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), 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: 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

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