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Doob's Maximal Inequalities

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Definition
StochasticDiffsStochasticControlStochasticProcesses

Let (Xn)nN(X_{n})_{n\in\mathbb{N}} be a (Fn)nN(\mathcal{F}_{n})_{n\in\mathbb{N}}-supermartingale; for kNk\in\mathbb{N} let Xk=sup0nkXn,  Xk=inf0nkXn,  X=supnNXn \overline{X}_{k}=\sup_{0\le n\le k}X_{n}, \ \ \underline{X_{k}}=\inf_{0\le n\le k}X_{n}, \ \ X^{*}=\sup_{n\in\mathbb{N}}|X_{n}| let λ>0\lambda>0 then 1. λP(Xkλ)E[X0]+E[Xk]\lambda P(\overline{X_{k}}\ge\lambda)\le E[X_{0}]+E[X_{k}^{-}] 2. λP(Xkλ)E[Xk]\lambda P(\underline{X_{k}}\le-\lambda)\le E[X_{k}^{-}] 3. λP(Xλ)3X1\lambda P(X^{*}\ge\lambda)\le3\|X\|_{1}where Xnp=supnNE[Xnp]1p  (1p<)\|X_{n}\|_{p}=\sup_{n\in\mathbb{N}}E[|X_{n}|^{p}]^{\frac{1}{p}} \ \ (1\le p< \infty) 4. If (Xn)nN(X_{n})_{n\in\mathbb{N}} is (Fn)nN(\mathcal{F}_{n})_{n\in\mathbb{N}}-martingale, then λpP(Xλ)(Xp)p\lambda^{p}P(X^{*}\ge\lambda)\le(\|X\|_{p})^p