Best bounds in Doob's maximal inequality for Bessel processes

zbMath0970.60049MaRDI QIDQ5926421

Jesper Lund Pedersen

Publication date: 6 October 2001

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

zbMATH Keywords

Bessel processDoob's maximal inequalityfree boundary problemminimality principleoptimal stoppingprinciple of smooth fit

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Diffusion processes (60J60)

Related Items (2)

A sharp maximal inequality for one-dimensional Dunkl martingales ⋮ A ratio inequality for Bessel processes.

Cites Work

• Stopping times of Bessel processes
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