- A SHARP BOUND FOR ITO PROCESSES
- A SHARP BOUND FOR ITO PROCESSES
- ㆍ 저자명
- Choi. Chang-Sun
- ㆍ 간행물명
- Journal of the Korean Mathematical Society
- ㆍ 권/호정보
- 1998년|35권 3호|pp.713-725 (13 pages)
- ㆍ 발행정보
- 대한수학회
- ㆍ 파일정보
- 정기간행물|ENG| PDF텍스트
- ㆍ 주제분야
- 기타
Let X and Y be Ito processes with dX$_{s}$ = $phi$$_{s}$dB$_{s}$ + $psi$$_{s}$ds and dY$_{s}$ = (equation omitted)dB$_{s}$ + ξ$_{s}$ds. Burkholder obtained a sharp bound on the distribution of the maximal function of Y under the assumption that │Y$_{0}$│$leq$│X$_{0}$│,│ζ│$leq$│$phi$│, │ξ│$leq$│$psi$│ and that X is a nonnegative local submartingale. In this paper we consider a wider class of Ito processes, replace the assumption │ξ│$leq$│$psi$│ by a more general one │ξ│$leq$$alpha$ │$psi$│ , where a $geq$ 0 is a constant, and get a weak-type inequality between X and the maximal function of Y. This inequality, being sharp for all a $geq$ 0, extends the work by Burkholder.der.urkholder.der.