XIII: 52, 611-613, LNM 721 (1979)
MEYER, Paul-André
Présentation de l'``inégalité de Doob'' de Métivier et Pellaumail (
Martingale theory)
In the theory of stochastic differential equations with respect to discontinuous semimartingales, stopping processes ``just before'' a stopping time $T$ (at $T-$) is a basic technique, but since it does not preserve the martingale property, Doob's inequality cannot be used to control the stopped process. The inequality discussed here is an efficient substitute, used by Métivier-Pellaumail (
Ann. Prob. 8, 1980) to develop the whole theory of stochastic differential equations
Keywords: Doob's inequality,
Stochastic differential equationsNature: Exposition
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