The integral analogue of the Hardy-Littlewood <i>L</i> log <i>L</i>-inequality for Brownian motion

DOI10.7153/MIA-01-12MaRDI QIDQ4373986zbMATH OpenOpenAlexFDO

Authors Goran Peskir

Publication date 11 October 1998

Published in Mathematical Inequalities & Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.7153/mia-01-12

zbMATH Keywords

Brownian motionBurkholder-Gundy's inequalityDoob's maximal inequalityDoob's optional sampling theoremintegral of Brownian pathItô-Tanaka's formulalocal timeoptimal stopping timeStephan's problem with moving boundary

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Continuous-time Markov processes on general state spaces (60J25) Diffusion processes (60J60) Brownian motion (60J65)

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Cited in

(9)

• Some inequalities with local times in zero of a Brownian motion
• Optimal stopping inequalities for the integral of Brownian paths
• On Doob's maximal inequality for Brownian motion
• Controlling the velocity of Brownian motion by its terminal value
• A logarithmic bound for a stopped Brownian motion
• scientific article; zbMATH DE number 18224 (Why is no real title available?)
• Optimal Stopping in the L log L -Inequality of Hardy and Littlewood
• On wald-type optimal stopping for Brownian motion
• On Hardy-Littlewood Inequality for Brownian Motion on Riemannian Manifolds

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