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best Doob-type bounds for the maximum of Brownian paths","language":"en"},"type":"monolingualtext"},"datatype":"monolingualtext"},"type":"statement","id":"Q4387151$1FAD80CD-3EDE-4524-8449-CBEE59527377","rank":"normal"}],"P1448":[{"mainsnak":{"snaktype":"value","property":"P1448","hash":"d265d3a04fc9efed0c10efd28d2afbeae2d81f53","datavalue":{"value":"For the standard Brownian motion \\( (B_t : t \\geq 0) \\) started at zero the following inequality chain is known \\[ A_pE \\Biggl( \\int_0^{\\tau} | B_t |^{p-2}dt \\Biggr) \\leq E\\Bigl( \\max_{0\\leq t\\leq\\tau} | B_t |^p\\Bigr) \\leq B_pE\\Biggl( \\int_0^{\\tau} | B_t |^{p-2}dt \\Biggr) \\] for \\( p>1 \\) and all stopping times \\( \\tau \\). The author proves for \\( 0<p\\leq 1+q\\), \\(q>0\\), the estimate \\[ E\\Bigl( \\max_{0\\leq t\\leq \\tau} | B_t |^p \\Bigr) \\leq \\gamma_{p,q}E\\Biggl( \\int_0^{ q-1} dt\\Biggr)^{p/(q+1)}. \\tag{\\(*\\)} \\] Furthermore, he gives the best values \\( \\gamma_{p,q}^* \\) in \\((*)\\) and the corresponding optimal stopping time \\( \\tau^* \\). The results obtained extend to all non-negative submartingales. For the entire collection see [Zbl 0883.00024].","type":"string"},"datatype":"string"},"type":"statement","id":"Q4387151$5F7838F9-ED48-4AF1-9408-CD2635A93167","rank":"normal"}]},"sitelinks":{"mardi":{"site":"mardi","title":"The best Doob-type bounds for the maximum of Brownian paths","badges":[],"url":"https://portal.mardi4nfdi.de/wiki/The_best_Doob-type_bounds_for_the_maximum_of_Brownian_paths"}}}}}