On pathwise counterparts of Doob's maximal inequalities

Abstract

In this paper, we present pathwise counterparts of Doob's maximal inequalities (on the probability of exceeding a level) for submartingales and supermartingales.

This is a preprint of the manuscript accepted for publication in Proceedings of the Steklov Institute of Mathematics

References in corpus (1)

• On joint distributions of the maximum, minimum and terminal value of a continuous uniformly integrable martingale