Sharp Inequalities for the Distribution of a Stochastic Integral in Which the Integrator is a Bounded Submartingale
Hammack, William
Ann. Probab., Tome 23 (1995) no. 3, p. 223-235 / Harvested from Project Euclid
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We obtain a sharp probability bound on the maximal function of a strong subordinate of a bounded submartingale. An analogous inequality also holds for stochastic integrals in which the integrator is a bounded submartingale and the integrand is a bounded predictable process.
Publié le : 1995-01-14
Classification:  Martingale,  submartingale,  maximal inequality,  differential subordination,  strong subordination,  stochastic integral,  60G42,  60H05,  60E15 
@article{1176988384,
     author = {Hammack, William},
     title = {Sharp Inequalities for the Distribution of a Stochastic Integral in Which the Integrator is a Bounded Submartingale},
     journal = {Ann. Probab.},
     volume = {23},
     number = {3},
     year = {1995},
     pages = { 223-235},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176988384}
}

Hammack, William. Sharp Inequalities for the Distribution of a Stochastic Integral in Which the Integrator is a Bounded Submartingale. Ann. Probab., Tome 23 (1995) no. 3, pp.  223-235. http://gdmltest.u-ga.fr/item/1176988384/