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

DOI10.1016/0304-4149(88)90043-9zbMath0653.60038OpenAlexW1966652723MaRDI QIDQ1107901

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

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

Related Items (10)

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

Cites Work

• Construction of a martingale with given absolute value
• Optimal stopping and best constants for Doob-like inequalities. I: The case \(p=1\)
• Every nonnegative submartingale is the absolute value of a martingale
• A converse to the dominated convergence theorem
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