Moderate and $L^p$ maximal inequalities for diffusion processes and conformal martingales

Abstract

The $L^p$ maximal inequalities for martingales are one of the classical results in the theory of stochastic processes. Here we establish the sharp moderate maximal inequalities for one-dimensional diffusion processes, which include the $L^p$ maximal inequalities as special cases. Moreover, we apply our theory to many specific examples, including the Ornstein-Uhlenbeck (OU) process, Brownian motion with drift, reflected Brownian motion with drift, Cox-Ingersoll-Ross process, radial OU process, and Bessel process. The results are further applied to establish the moderate maximal inequalities for some high-dimensional processes, including the complex OU process and general conformal local martingales.