Sharp inequalities for the distribution of a stochastic integral in which the integrator is a bounded submartingale

DOI10.1214/aop/1176988384zbMath0833.60057OpenAlexW2090836769MaRDI QIDQ1897182

William Hammack

Publication date: 5 March 1996

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1176988384

zbMATH Keywords

subordinationstochastic integralsstopping timessubmartingale

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Martingales with discrete parameter (60G42) Stochastic integrals (60H05)

Related Items (3)

The foundational inequalities of D. L. Burkholder and some of their ramifications ⋮ Sharp maximal inequalities for stochastic integrals in which the integrator is a submartingale ⋮ Sharp maximal inequalities for the moments of martingales and non-negative submartingales

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