On Doob's maximal inequality for Brownian motion

DOI10.1016/S0304-4149(97)00032-XzbMATH Open0913.60011WikidataQ126807134 ScholiaQ126807134MaRDI QIDQ1275937FDOQ1275937

Svend-Erik Graversen, Goran Peskir

Publication date: 14 January 1999

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

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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)

Cites Work

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

Cited In (15)

• Title not available (Why is that?)
• Some results involving the maximum of Brownian motion
• Title not available (Why is that?)
• Moment inequalities for functionals of the Brownian convex hull
• On a Property of the Moment at Which Brownian Motion Attains Its Maximum and Some Optimal Stopping Problems
• On a conditioned Brownian motion and a maximum principle on the disk
• Doob's maximal inequalities for martingales in variable Lebesgue space
• A low intensity maximum principle for bi-Brownian motion
• Best bounds in Doob's maximal inequality for Bessel processes
• Maximal Exponential Inequalities for Certain Diffusion Processes
• Optimal Stopping in the L log L -Inequality of Hardy and Littlewood
• A maximal inequality for skew Brownian motion
• Title not available (Why is that?)
• Sharp maximal inequalities for stochastic processes
• Controlling the velocity of Brownian motion by its terminal value

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