BOUNDS FOR EXPONENTIAL MOMENTS OF BESSEL PROCESSES

DOI10.4134/BKMS.B180974zbMath1423.60067OpenAlexW3044050091MaRDI QIDQ5242406

Cloud Makasu

Publication date: 8 November 2019

Full work available at URL: http://koreascience.or.kr:80/article/JAKO201928463078688.pdf

zbMATH Keywords

comparison principleBessel processesYoung inequalityoptimal stopping problem

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Stopping times; optimal stopping problems; gambling theory (60G40) Differential inequalities involving functions of a single real variable (34A40)

Cites Work

• Bessel-like processes and SDE
• Stopping times of Bessel processes
• Exit times of Brownian motion, harmonic majorization, and Hardy spaces
• Maximal inequalities for Bessel processes
• L p estimates for stopping times of Bessel processes
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