Moderate maximal inequalities for the Ornstein-Uhlenbeck process
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Publication:5113421
Abstract: The maximal inequalities for diffusion processes have drawn increasing attention in recent years. However, the existing proof of the maximum inequalities for the Ornstein-Uhlenbeck process was dubious. Here we give a rigorous proof of the moderate maximum inequalities for the Ornstein-Uhlenbeck process, which include the maximum inequalities as special cases and generalize the remarkable maximum inequalities obtained by Graversen and Peskir [P. Am. Math. Soc., 128(10):3035-3041, 2000]. As a corollary, we also obtain a new moderate maximal inequality for continuous local martingales, which can be viewed as a supplement of the classical Burkholder-Davis-Gundy inequality.
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- Some improvements on the \(L_p \) inequalities for diffusion processes
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- Martingale structure for general thermodynamic functionals of diffusion processes under second-order averaging
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