Doob's inequalities revisited: A maximal H1-embedding

S. D. Jacka

Stochastic Processes and their Applications, 1988, vol. 29, issue 2, 281-290

Abstract: An embedding of an arbitrary centred law [mu] in a Brownian motion (that is a stopping time T and a Brownian motion B such that (Bt)=[mu] and (Bt[Lambda]T; t[greater-or-equal, slanted]0) is found such that B*T has a law which dominates that of M*[tau], where the pair (M, [tau]) is any other ui embedding of [mu] in a martingale.

Keywords: Brownian; motion; martingale; Doobss; inequalities; embedding; H1-embedding (search for similar items in EconPapers)
Date: 1988
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Citations: View citations in EconPapers (3)

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