Sharp maximal inequalities for continuous-path semimartingales

DOI10.7153/MIA-16-05MaRDI QIDQ4908600zbMATH OpenOpenAlexFDO

Authors Adam Osȩkowski

Publication date 6 March 2013

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

Full work available at URL https://doi.org/10.7153/mia-16-05

zbMATH Keywords

differential subordinationmaximal inequalitystochastic integralsupermartingale

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Martingales with continuous parameter (60G44)

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(7)

• Maximal inequalities for a kind of continuous semimartingales
• Sharp maximal bound for continuous martingales
• Maximal inequalities for a continuous semimartingale
• Sharp martingale and semimartingale inequalities.
• A sharp maximal inequality for continuous martingales and their differential subordinates.
• Comparison-type theorems for Itô processes and differentially subordinated semimartingales
• Sharp maximal inequalities for stochastic processes

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