L p estimates for stopping times of Bessel processes

DOI10.1007/BF00538418zbMath0376.60047OpenAlexW2052245223MaRDI QIDQ4153406

Walter A. Rosenkrantz, Stanley A. Sawyer

Publication date: 1977

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und verwandte Gebiete (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf00538418

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60)

Related Items (7)

Iterated integrals with respect to Bessel processes ⋮ One-sided maximal inequalities for a randomly stopped Bessel process ⋮ A ratio inequality for Bessel processes. ⋮ BOUNDS FOR EXPONENTIAL MOMENTS OF BESSEL PROCESSES ⋮ Invariance formulas for stopping times of squared Bessel process ⋮ Some improvements on the L_p inequalities for diffusion processes ⋮ L p estimates on a time-inhomogeneous diffusion process

Cites Work

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• Distribution function inequalities for martingales
• Exit times of Brownian motion, harmonic majorization, and Hardy spaces
• On a degenerate elliptic‐parabolic equation occurring in the theory of probability
• An Equivalent to the Martingale Square Function Inequality

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