Maximal inequalities for Bessel processes
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Publication:1386693
DOI10.1155/S102558349800006XzbMath0903.60074OpenAlexW2010646673MaRDI QIDQ1386693
Svend-Erik Graversen, Goran Peskir
Publication date: 5 January 1999
Published in: Journal of Inequalities and Applications (Search for Journal in Brave)
Full work available at URL: https://eudml.org/doc/119647
Continuous-time Markov processes on general state spaces (60J25) Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Diffusion processes (60J60)
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On the exact constants in one-sided maximal inequalities for Bessel processes ⋮ Iterated integrals with respect to Bessel processes ⋮ Recombining Tree Approximations for Optimal Stopping for Diffusions ⋮ One-sided maximal inequalities for a randomly stopped Bessel process ⋮ Moderate maximal inequalities for the Ornstein-Uhlenbeck process ⋮ A ratio inequality for Bessel processes. ⋮ BOUNDS FOR EXPONENTIAL MOMENTS OF BESSEL PROCESSES ⋮ Sharp maximal inequalities for stochastic processes ⋮ Applications of pathwise Burkholder-Davis-Gundy inequalities ⋮ Moment estimation inequalities based on \(g_{\lambda}\) random variable on Sugeno measure space ⋮ Remark on maximal inequalities for Bessel processes ⋮ \(L^p\)-estimates on diffusion processes ⋮ Some improvements on the L_p inequalities for diffusion processes ⋮ Sharp moderate maximal inequalities for upward skip-free Markov chains ⋮ On extreme events for non-spatial and spatial branching Brownian motions
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