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

DOI10.1007/S10959-019-00880-6zbMATH Open1444.60018arXiv1805.07700OpenAlexW2910074956MaRDI QIDQ2297334FDOQ2297334

Authors: János Engländer 

Publication date: 18 February 2020

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

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.

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

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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)

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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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