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

被引：7

作者：

Hammack, W

机构：

来源：

PROCEEDINGS OF THE AMERICAN MATHEMATICAL SOCIETY | 1996年 / 124卷 / 03期

关键词：

Martingale; submartingale; maximal inequality; differential subordination; strong subordination; stochastic integral;

D O I：

10.1090/S0002-9939-96-03225-X

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

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.

引用

页码：931 / 938

页数：8

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