On Doob's maximal inequality for Brownian motion

DOI10.1016/S0304-4149(97)00032-XMaRDI QIDQ1275937zbMATH OpenWikidataFDO

Authors Svend-Erik Graversen, Goran Peskir

Publication date 14 January 1999

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

Full work available at URL https://doi.org/10.1016/S0304-4149(97)00032-X

zbMATH Keywords

Brownian motionBurkholder-Gundy's inequalityDoob's maximal inequalityItô-Tanaka's formulaoptimal stopping timeprinciple of smooth fitsubmartingale

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Diffusion processes (60J60) Brownian motion (60J65)

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Cites work

• Doob's inequalities revisited: A maximal H^ 1-embedding
• scientific article; zbMATH DE number 3644254 (Why is no real title available?)
• scientific article; zbMATH DE number 17010 (Why is no real title available?)
• scientific article; zbMATH DE number 48952 (Why is no real title available?)
• scientific article; zbMATH DE number 482632 (Why is no real title available?)
• Sharp Maximal Inequalities for Conditionally Symmetric Martingales and Brownian Motion

Cited in

(23)

• Moment inequalities for functionals of the Brownian convex hull
• Doob's maximal inequalities for martingales in variable Lebesgue space
• A low intensity maximum principle for bi-Brownian motion
• On a conditioned Brownian motion and a maximum principle on the disk
• On maximal inequalities via comparison principle
• Controlling the velocity of Brownian motion by its terminal value
• Maximal exponential inequalities for certain diffusion processes
• scientific article; zbMATH DE number 3844774 (Why is no real title available?)
• A maximal inequality for skew Brownian motion
• Exact inequalities for the maximum of a skew Brownian motion
• scientific article; zbMATH DE number 3930072 (Why is no real title available?)
• Optimal Stopping in the L log L -Inequality of Hardy and Littlewood
• Some results involving the maximum of Brownian motion
• The integral analogue of the Hardy-Littlewood <i>L</i> log <i>L</i>-inequality for Brownian motion
• scientific article; zbMATH DE number 1149773 (Why is no real title available?)
• On the exponential Orlicz norms of stopped Brownian motion
• Sharp maximal inequalities for stochastic processes
• A maximal inequality for skew Brownian motion
• A sharp maximal inequality for a geometric Brownian motion
• scientific article; zbMATH DE number 2189781 (Why is no real title available?)
• On a Property of the Moment at Which Brownian Motion Attains Its Maximum and Some Optimal Stopping Problems
• Best bounds in Doob's maximal inequality for Bessel processes
• Weighted stability estimates for maximal operators

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