STRONG DIFFERENTIAL SUBORDINATION AND STOCHASTIC INTEGRATION

• 成果类型: Article
• 署名作者: BURKHOLDER, DL
• 刊物名称: ANNALS OF PROBABILITY
• ISSN/ISSBN: 0091-1798
• DOI: 10.1214/aop/1176988738
• 发表日期: 1994
• 页码: 995-1025
• 关键词: martingales; sharp

摘要

This paper contains sharp norm, maximal, escape and exponential inequalities for stochastic integrals in which the integrator is either a nonnegative submartingale or a nonnegative supermartingale. Analogous inequalities hold for Ito processes and for smooth functions on Euclidean domains.