Probability Theory – Doob’s Supermartingale Inequality

martingalesmeasure-theoryprobability theorystochastic-processes

I'm trying to prove that For a non-negative supermartingale $M$ it holds that for all $\lambda>0$ we have
$$\lambda P\{\sup_{n}M_{n}\geq\lambda\}\leq E(M_{0})$$

My idea was to use Markov's inequality which states that
$$\lambda P(M_{n}\geq\lambda)\leq E(M_{n})$$

As it holds for all $M_{n}$ it must also hold for the supremum of $M_{n}$ and using the supermartingale property $E(M_{n})\leq E(M_{0})$ one finds the desired result.

However I'm not sure if I can just say that it also holds for the supremum, could anyone help me out with this?

Help is much appreciated.

Best Answer

Hint:

Define a stopping time $T=\inf\{k: X_k\geq \lambda \}$

Write $\mathbb{E}X_{n\wedge T}=\mathbb{E}X_T1_{\{T\leq n\}} + \mathbb{E}X_n1_{\{T> n\}} $

Use optional sampling theorm: $\mathbb{E}X_{n\wedge T}\leq\mathbb{E}X_0$ drop something you don't want because it is positive.

fill in the details yourself :)

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