Sharp Norm Comparison of Martingale Maximal Functions and Stochastic Integrals

Part of the Selected Works in Probability and Statistics book series (SWPS)


Much of this paper will be devoted to answering a question about stochastic integrals, Question 1 below. Question 2 is even more basic. The primary goal is to introduce a method that can be used to study these and other questions about martingale maximal functions.


Simple Function Stochastic Integral Good Constant Predictable Process Maximal Inequality 


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© Springer Science+Business Media, LLC 2011

Authors and Affiliations

  1. 1.Department of Mathematics and Department of StatisticsPurdue UniversityWest LafayetteUSA
  2. 2.Department of MathematicsUniversity of IllinoisUrbanaUSA

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