Maximal inequalities for the Ornstein-Uhlenbeck process
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Publication:4501095
DOI10.1090/S0002-9939-00-05345-4zbMath0954.60062MaRDI QIDQ4501095
Goran Peskir, Svend-Erik Graversen
Publication date: 3 September 2000
Published in: Proceedings of the American Mathematical Society (Search for Journal in Brave)
Brownian motionGaussian processstopping timediffusion processmaximal inequalitymaximum processOrnstein-Uhlenbeck velocity processLangevin stochastic differential equationLenglart's domination principle
Gaussian processes (60G15) Inequalities; stochastic orderings (60E15) Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60)
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