A ratio inequality for Bessel processes.

DOI10.1016/j.spl.2003.10.003zbMath1126.60317OpenAlexW2007228274MaRDI QIDQ1423043

Bei Zhu, Litan Yan

Publication date: 14 February 2004

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2003.10.003

zbMATH Keywords

Brownian motionstochastic differential equationsMartingalesItô's formula and domination relation

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44)

Related Items (5)

Iterated integrals with respect to Bessel processes ⋮ \(L^p\)-estimates on a ratio involving a Bessel process ⋮ One-sided maximal inequalities for a randomly stopped Bessel process ⋮ Moderate maximal inequalities for the Ornstein-Uhlenbeck process ⋮ Sharp moderate maximal inequalities for upward skip-free Markov chains

Cites Work

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• Inequalities for Non-Moderate Functions of a Pair of Stochastic Processes
• Maximal inequalities for the Ornstein-Uhlenbeck process
• Maximal inequalities for a continuous semimartingale
• The Bessel motion and a singular integral equation
• Best bounds in Doob's maximal inequality for Bessel processes

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