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)

zbMATH Keywords

Brownian motionoptimal stopping timesubmartingaleprinciple of smooth fitDoob's maximal inequalityBurkholder-Gundy's inequality[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=It%EF%BF%BD%EF%BF%BD-Tanaka%27s+formula&go=Go It��-Tanaka's formula]

Mathematics Subject Classification ID

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

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Cites work

• 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?)
• Doob's inequalities revisited: A maximal \(H^ 1\)-embedding
• Sharp Maximal Inequalities for Conditionally Symmetric Martingales and Brownian Motion

Cited in

(19)

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

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