Abstract
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.
Citation
Donald L. Burkholder. "Strong Differential Subordination and Stochastic Integration." Ann. Probab. 22 (2) 995 - 1025, April, 1994. https://doi.org/10.1214/aop/1176988738
Information
