Sharpness of Lenglart's domination inequality and a sharp monotone version

DOI10.1214/21-ECP413zbMath1498.60164arXiv2101.10884OpenAlexW3177988443MaRDI QIDQ2064872

Sarah Geiss, Michael K. R. Scheutzow

Publication date: 6 January 2022

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2101.10884

zbMATH Keywords

sharpnessGarsia's lemmaBDG inequalityLenglart's domination inequalitymonotone Lenglart's inequality

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44)

Related Items (1)

Sharp convex generalizations of stochastic Gronwall inequalities

Cites Work

• A note on the domination inequalities and their applications
• A maximal inequality for stochastic convolutions in 2-smooth Banach spaces
• On degenerate linear stochastic evolution equations driven by jump processes
• Sharp inequalities for the conditional square function of a martingale
• Distribution function inequalities for martingales
• The sharp constant for the Burkholder-Davis-Gundy inequality and non-smooth pasting
• Martingale transforms and their projection operators on manifolds
• Burkholder-Davis-Gundy inequalities in UMD Banach spaces
• A note on maximal estimates for stochastic convolutions
• On Maximal Inequalities for Purely Discontinuous Martingales in Infinite Dimensions
• On the rate of convergence of strong Euler approximation for SDEs driven by Levy processes
• A Stochastic Gronwall Lemma and Well-Posedness of Path-Dependent SDEs Driven by Martingale Noise
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