Maximal inequalities for CIR processes

DOI10.1023/B:MATH.0000032705.81302.2DzbMath1056.60080OpenAlexW2012608722MaRDI QIDQ1877322

Litan Yan, Ying-Chun Li

Publication date: 16 August 2004

Published in: Letters in Mathematical Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/b:math.0000032705.81302.2d

zbMATH Keywords

diffusion processCox-Ingersoll-Ross processBessel processes and domination principleItô's formula, maximal inequalities

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60)

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