Lenglart's inequality
In the mathematical theory of probability, Lenglart's inequality was proved by Èrik Lenglart in 1977. Later slight modifications are also called Lenglart's inequality. Statement 

Let  be a non-negative  right-continuous -adapted process and let   be a non-negative right-continuous non-decreasing predictable process such that  for any bounded stopping time . Then

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Citations

General sources 
 
 
 
 
 

Stochastic differential equations
Articles containing proofs
Probabilistic inequalities