Moderate maximal inequalities for the Ornstein-Uhlenbeck process

DOI10.1090/PROC/14804zbMATH Open1465.60021arXiv1711.00902OpenAlexW2982374486WikidataQ126862839 ScholiaQ126862839MaRDI QIDQ5113421FDOQ5113421

Authors: Chen Jia, Guohuan Zhao 

Publication date: 11 June 2020

Published in: Proceedings of the American Mathematical Society (Search for Journal in Brave)

Abstract: The maximal inequalities for diffusion processes have drawn increasing attention in recent years. However, the existing proof of the $L^p$ 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 $L^p$ maximum inequalities as special cases and generalize the remarkable $L^1$ 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.

Full work available at URL: https://arxiv.org/abs/1711.00902

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zbMATH Keywords

Brownian motionlocal martingaleBurkholder-Davis-Gundy inequalitylaw of the iterated logarithmmoderate functiongood \(\lambda\) inequality

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Diffusion processes (60J60) Brownian motion (60J65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44)

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Cited In (16)

• From additive to transport noise in 2D fluid dynamics
• Quantitative mixing and dissipation enhancement property of Ornstein–Uhlenbeck flow
• Some improvements on the \(L_p \) inequalities for diffusion processes
• 2D Euler equations with Stratonovich transport noise as a large-scale stochastic model reduction
• Maximal inequalities for the Ornstein-Uhlenbeck process
• Title not available (Why is that?)
• Mean first exit times of Ornstein–Uhlenbeck processes in high-dimensional spaces
• Moderate and \(L^p\) maximal inequalities for diffusion processes and conformal martingales
• Martingale structure for general thermodynamic functionals of diffusion processes under second-order averaging
• A law of large numbers for interacting diffusions via a mild formulation
• Stochastic model reduction: convergence and applications to climate equations
• Finite time mixing and enhanced dissipation for 2D Navier-Stokes equations by Ornstein-Uhlenbeck flow
• On Maximal Inequalities for Ornstein--Uhlenbeck Processes with Jumps
• Moderate deviations for squared radial Ornstein-Uhlenbeck process
• Synchronization of stochastic lattice equations and upper semicontinuity of attractors
• Sharp moderate maximal inequalities for upward skip-free Markov chains

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