Abstract
We obtain a sharp probability bound on the maximal function of a strong subordinate of a bounded submartingale. An analogous inequality also holds for stochastic integrals in which the integrator is a bounded submartingale and the integrand is a bounded predictable process.
Citation
William Hammack. "Sharp Inequalities for the Distribution of a Stochastic Integral in Which the Integrator is a Bounded Submartingale." Ann. Probab. 23 (1) 223 - 235, January, 1995. https://doi.org/10.1214/aop/1176988384
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