A generalization of the submartingale property: maximal inequality and applications to various stochastic processes

DOI10.1007/S10959-019-00880-6MaRDI QIDQ2297334zbMATH OpenOpenAlexFDO

Authors János Engländer

Publication date 18 February 2020

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1805.07700

zbMATH Keywords

random walktime seriesMarkov processgeometric Brownian motionbranching processmaximal inequalitysuperprocessDoob's inequalitysubmartingaleprocesses with independent incrementsapproximate convexitycontinuous state branching processbranching diffusion\(a\)-achieving processLévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Inequalities; stochastic orderings (60E15) Generalizations of martingales (60G48) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80) Martingales with continuous parameter (60G44)

Abstract: We generalize the notion of the submartingale property and Doob's inequality. Furthermore, we show how the latter leads to new inequalities for several stochastic processes: certain time series, Levy processes, random walks, processes with independent increments, branching processes and continuous state branching processes, branching diffusions and superdiffusions, as well as some Markov processes, including geometric Brownian motion.

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Cites work

• scientific article; zbMATH DE number 1245556 (Why is no real title available?)
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• On approximately convex functions
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Cited in

(4)

• On the rareness of generalized sub- and supermartingales in the class of all uniformlyL₁bounded stochastic processes
• Maximal inequalities and some applications
• Reverse submartingale property arising from exchangeable random variables
• Generalization of an inequality of Birnbaum and Marshall, with applications to growth rates for submartingales

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