Sharp moderate maximal inequalities for upward skip-free Markov chains

Abstract

The $L^p$ maximal inequalities for martingales are one of the classical results in probability theory. Here we establish the sharp moderate maximal inequalities for upward skip-free Markov chains, which include the $L^p$ maximal inequalities as special cases. Furthermore, we apply our theory to two specific examples and obtain their moderate maximal inequalities: the first one is the M/M/1 queue and the second one is an upward skip-free Markov chain with large death jumps. These two examples have the same total birth and death rates. However, the former exhibits a phase transition phenomenon while the latter does not.