Doob’s martingale maximal inequalities

1 Doob’s martingale maximal inequalities

1.1

In this post, we prove some fundamental martingale inequalities that, once again, are due to Joe Doob

https://fabricebaudoin.wordpress.com/2012/04/10/lecture-11-doobs-martingale-maximal-inequalities/

1.2

In mathematics, Doob’s martingale inequality, also known as Kolmogorov’s submartingale inequality is a result in the study of stochastic processes. It gives a bound on the probability that a submartingale exceeds any given value over a given interval of time. As the name suggests, the result is usually given in the case that the process is a martingale, but the result is also valid for submartingales.

The inequality is due to the American mathematician Joseph L. Doob.

Statement of the inequality

The setting of Doob’s inequality is a submartingale relative to a filtration of the underlying probability space. The probability measure on the sample space of the martingale will be denoted by P. The corresponding expected value of a random variable X, as defined by Lebesgue integration, will be denoted by E[X].
Informally, Doob’s inequality states that the expected value of the process at some final time controls the probability that a sample path will reach above any particular value beforehand. As the proof uses very direct reasoning, it does not require any restrictive assumptions on the underlying filtration or on the process itself, unlike for many other theorems about stochastic processes. In the continuous-time setting, right-continuity (or left-continuity) of the sample paths is required, but only for the sake of knowing that the supremal value of a sample path equals the supremum over an arbitrary countable dense subset of times.

Discrete time

In this proof, the submartingale property is used once, together with the definition of conditional expectation.[1] The proof can also be phrased in the language of stochastic processes so as to become a corollary of the powerful theorem that a stopped submartingale is itself a submartingale.[2] In this setup, the minimal index i appearing in the above proof is interpreted as a stopping time.

Continuous time

Further inequalities

Related inequalities

Application: Brownian motion

https://en.wikipedia.org/wiki/Doob%27s_martingale_inequality