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Sharp maximal inequalities for stochastic integrals
in which the integrator is a submartingale

Author: William Hammack
Journal: Proc. Amer. Math. Soc. 124 (1996), 931-938
MSC (1991): Primary 60G42, 60H05; Secondary 60E15
MathSciNet review: 1307522
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Abstract: We obtain sharp maximal inequalities for strong subordinates of real-valued submartingales. Analogous inequalities also hold for stochastic integrals in which the integrator is a submartingale. The impossibility of general moment inequalities is also demonstrated.

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

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Additional Information

William Hammack
Affiliation: Department of Mathematics, University of British Columbia, Vancouver, British Columbia, Canada V6T 1Z2

Keywords: Martingale, submartingale, maximal inequality, differential subordination, strong subordination, stochastic integral
Received by editor(s): June 15, 1994
Received by editor(s) in revised form: September 20, 1994
Communicated by: Richard T. Durrett
Article copyright: © Copyright 1996 American Mathematical Society