On Maximal Inequalities for Stable Stochastic Integrals

Sharp maximal inequalities in large and small range are derived for stable stochastic integrals. In order to control the tail of a stable process, we introduce a truncation level in the support of its Lévy measure: we show that the contribution of the compound Poisson stochastic integral is negligible as the truncation level is large, so that the study is reduced to establish maximal inequalities for the martingale part with a suitable choice of truncation level. The main problem addressed in this paper is to give upper bounds which remain bounded as the parameter of stability of the underlying stable process goes to 2. Applications to estimates of first passage times of symmetric stable processes above positive continuous curves complete this work.