Generalization of an inequality of Birnbaum and Marshall, with applications to growth rates for submartingales (Q1822133): Difference between revisions
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Property / author: Q792038 / rank | |||
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Property / reviewed by: Remigijus Mikulevičius / rank | |||
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Property / author: Eric V. Slud / rank | |||
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Property / reviewed by: Remigijus Mikulevičius / rank | |||
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Property / full work available at URL: https://doi.org/10.1016/0304-4149(87)90027-5 / rank | |||
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Property / OpenAlex ID: W1983433405 / rank | |||
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Latest revision as of 19:39, 17 June 2024
scientific article
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English | Generalization of an inequality of Birnbaum and Marshall, with applications to growth rates for submartingales |
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Generalization of an inequality of Birnbaum and Marshall, with applications to growth rates for submartingales (English)
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1987
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Using Lenglart's inequality the inequality of Birnbaum and Marshall is improved and generalised. The author estimates the probability that \(\sup \{X_ sh_ s:\) \(0\leq s<T\}\geq 1\), where X is a submartingale and h is a nonnegative nonincreasing predictable process. The results are applied to give growth rates for a general submartingale in terms of the compensator of its positive part. Growth of solutions of stochastic differential equations and strong asymptotic lower bounds on Brownian motion occupation times are also considered.
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Lenglart's inequality
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submartingale
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Growth of solutions of stochastic differential equations
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strong asymptotic lower bounds
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occupation times
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