Doob's inequalities revisited: A maximal H^ 1-embedding

DOI10.1016/0304-4149(88)90043-9MaRDI QIDQ1107901zbMATH OpenOpenAlexFDO

Authors S. D. Jacka

Publication date 1988

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4149(88)90043-9

zbMATH Keywords

maximal inequalityembedding into Brownian motion

Mathematics Subject Classification ID

Brownian motion (60J65) Maximal functions, Littlewood-Paley theory (42B25) (H^p)-spaces (42B30) Distribution theory (60E99) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) General theory of stochastic processes (60G07)

Recommendations

• Doob's maximal inequality and Burkholder-Davis-Gundy's inequality on Musielak-Orlicz spaces
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• scientific article; zbMATH DE number 4082284
• Generalizations of Dobrushin's inequalities and applications
• Publication:4942399
• On Doob's inequality and Burkholder's inequality in weak spaces
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• Higher-order Sobolev embeddings and isoperimetric inequalities

Cites work

• scientific article; zbMATH DE number 3644254 (Why is no real title available?)
• scientific article; zbMATH DE number 3644255 (Why is no real title available?)
• scientific article; zbMATH DE number 3579364 (Why is no real title available?)
• scientific article; zbMATH DE number 3085434 (Why is no real title available?)
• A converse to the dominated convergence theorem
• Construction of a martingale with given absolute value
• Every nonnegative submartingale is the absolute value of a martingale
• Optimal stopping and best constants for Doob-like inequalities. I: The case \(p=1\)

Cited in

(10)

• Estimates for the diameter of a martingale
• Martingales with given maxima and terminal distributions
• On joint distributions of the maximum, minimum and terminal value of a continuous uniformly integrable martingale
• On Doob's maximal inequality for Brownian motion
• Robust pricing and hedging of double no-touch options
• Skorokhod embeddings, minimality and non-centred target distributions
• An optimal Skorokhod embedding for diffusions
• A construction of the left-curtain coupling
• Optimal transport and Skorokhod embedding
• Weak characterizations of stochastic integrability and Dudley's theorem in infinite dimensions

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