MODERATE MAXIMAL INEQUALITIES FOR THE ORNSTEIN-UHLENBECK PROCESS
Jia, Chen
Jia
Chen
Zhao, Guohuan
Zhao
Guohuan
The maximal inequalities for diffusion processes have drawn increasing attention in recent years. Here we prove the moderate maximal inequality for the Ornstein-Uhlenbeck process, which includes the LP maximal inequality as a special case and generalizes the L-1 maximal inequality obtained by Graversen and Peskir [Proc. Amer. 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 an extension of the classical Burkholder-Davis-Gundy inequality.
148
8
3607-3615
3607-3615
Amer Mathematical Soc
2020