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Sharp maximal inequalities for stochastic integrals in which the integrator is a submartingale |
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| Authors: | William Hammack |
| Affiliation: | Department of Mathematics, University of British Columbia, Vancouver, British Columbia, Canada V6T 1Z2 |
| Abstract: | 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. |
| Keywords: | Martingale submartingale maximal inequality differential subordination strong subordination stochastic integral |
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