Inequalities for a Pair of Processes Stopped at a Random Time

DOI10.1112/PLMS/S3-52.1.142MaRDI QIDQ3709553zbMATH OpenOpenAlexFDO

Authors Martin T. Barlow, Marc Yor, S. D. Jacka

Publication date 1986

Published in Proceedings of the London Mathematical Society (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1112/plms/s3-52.1.142

zbMATH Keywords

Young function

Mathematics Subject Classification ID

General theory of stochastic processes (60G07) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Brownian motion (60J65)

Cited in

(27)

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• Barlow-Yor inequalities for intersection local times of two planar Brownian motions
• A generalisation of the Burkholder-Davis-Gundy inequalities
• Central limit theorem and self-normalized Cramér-type moderate deviation for Euler-Maruyama scheme
• Time-uniform Chernoff bounds via nonnegative supermartingales
• The \(\Lambda \)-coalescent speed of coming down from infinity
• Iterated integrals with respect to Bessel processes
• How badly are the Burkholder-Davis-Gundy inequalities affected by arbitrary random times?
• A generalization of the Burkholder–Davis–Gundy inequalities
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• Inequalities for Non-Moderate Functions of a Pair of Stochastic Processes
• Incomplete stochastic equilibria with exponential utilities close to Pareto optimality
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• On the best constant in Marcinkiewicz-Zygmund inequality
• Drift estimation for a multi-dimensional diffusion process using deep neural networks
• Looking forwards and backwards: dynamics and genealogies of locally regulated populations
• Adaptive deep learning for nonlinear time series models
• Exponential inequalities for self-normalized martingales with applications

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