The integral analogue of the Hardy-Littlewood <i>L</i> log <i>L</i>-inequality for Brownian motion

DOI10.7153/MIA-01-12zbMATH Open0897.60048OpenAlexW2132497499MaRDI QIDQ4373986

Goran Peskir

Publication date: 11 October 1998

Published in: Mathematical Inequalities & Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.7153/mia-01-12

zbMATH Keywords

Doob's maximal inequalityBrownian motionlocal timeoptimal stopping timeBurkholder-Gundy's inequalityItô-Tanaka's formulaDoob's optional sampling theoremStephan's problem with moving boundaryintegral of Brownian path

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Continuous-time Markov processes on general state spaces (60J25) Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Diffusion processes (60J60)

This page was built for publication: The integral analogue of the Hardy-Littlewood <i>L</i> log <i>L</i>-inequality for Brownian motion

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4373986)