The integral analogue of the Hardy-Littlewood L log L-inequality for Brownian motion

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• Goran Peskir

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• Primary
• 60G40
• 60J65
• 60E15
• Secondary
• 60G44
• 60J25
• 60J60

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• Brownian motion
• integral of Brownian path
• the L log L-inequality of Hardy and Littlewood
• optimal stopping (time)
• the principle of smooth fit
• the maximality principle
• Stephan's problem with moving boundary
• Itô-Tanaka's formula
• Burkholder-Gundy's inequality
• Doob's maximal inequality
• Doob's optional sampling theorem
• local time

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