Sharp Inequalities for the Distribution of a Stochastic Integral in Which the Integrator is a Bounded Submartingale

William Hammack
1995 Annals of Probability  
We obtain sharp maximal inequalities for strong subordinates of real-valued submartingales. Analogous inequalities also hold for stochastic integrals in which the integrator is a submartingale. The impossibility of general moment inequalities is also demonstrated.
doi:10.1214/aop/1176988384 fatcat:7m7vkhorgvdghkkndzqgvvwl7q