On Doob's maximal inequality for Brownian motion

DOI10.1016/S0304-4149(97)00032-XzbMath0913.60011WikidataQ126807134 ScholiaQ126807134MaRDI QIDQ1275937

Svend-Erik Graversen, Goran Peskir

Publication date: 14 January 1999

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

Doob's maximal inequalityprinciple of smooth fitBrownian motionoptimal stopping timesubmartingaleBurkholder-Gundy's inequalityItô-Tanaka's formula

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Diffusion processes (60J60)

Related Items (2)

Maximal Exponential Inequalities for Certain Diffusion Processes ⋮ Sharp maximal inequalities for stochastic processes

Cites Work

• Doob's inequalities revisited: A maximal \(H^ 1\)-embedding
• Sharp Maximal Inequalities for Conditionally Symmetric Martingales and Brownian Motion
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