Let f:R+→R+, let F={S1,…,Sn}⊂R+ and let a,b∈R where a<b, with S1<⋯<Sn. Now let t1t2t3t4=inf{s∈F:f(s)≤a}=inf{s∈F:s>t1,f(s)≥b}=inf{s∈F:s>t2,f(s)≥a}=inf{s∈F:s>t3,f(s)≥b} Let k∈N, be the largest integer for which f(t2k−1)≤a and f(t2k)≥b. If ∃k, then k=0. We call k the number of upcrossings from a to b over F and is denoted by M(f,F,[a,b])Let now S⊂R+ arbitrary. We define, M(f,S,[a,b])=F⊂SF finitesupM(f,F,[a,b])i.e. the highest number of upcrossings over all finite F⊂S.
Let X=(Xn)n∈N be a process on (Ω,F,P) and let S⊂N arbitrary. Let a,b∈R, a<b, then M(X,S,[a,b])(ω)=M(X(ω),S,[a,b]), ∀ω∈Ωwhere X(ω)=(Xn)n∈N, i.e. M(X,S,[a,b])(ω)=F⊂SF finitesupM(X(ω),F,[a,b]), ∀ω∈Ω
Let (Xn)n∈N be a (Fn)n∈N-supermartingale on (Ω,F,P), let a,b∈R with a<b. Then, denoting Mab=M(X,N,[a,b]) we have E[Mab]≤b−a1k∈NsupE[(Xk−a)−]≤b−a1(∣a∣+k∈NsupE[∣Xk∣])