One-sided maximal inequalities for a randomly stopped Bessel process

DOI10.1080/07474946.2023.2193593OpenAlexW4377691974MaRDI QIDQ6166464

Cloud Makasu

Publication date: 6 July 2023

Published in: Sequential Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474946.2023.2193593

zbMATH Keywords

Bessel processesoptimal stopping problemBurkholder-Gundy inequalities

Mathematics Subject Classification ID

Sequential statistical methods (62Lxx)

Cites Work

• Unnamed Item
• Unnamed Item
• Bessel-like processes and SDE
• Stopping times of Bessel processes
• Exit times of Brownian motion, harmonic majorization, and Hardy spaces
• Optimal stopping of the maximum process: The maximality principle
• Maximal inequalities for Bessel processes
• A ratio inequality for Bessel processes.
• The sharp constant for the Burkholder-Davis-Gundy inequality and non-smooth pasting
• On the strong and weak solutions of stochastic differential equations governing Bessel processes
• The mean of the running maximum of an integrated Gauss–Markov process and the connection with its first-passage time
• Bessel diffusions as a one-parameter family of diffusion processes
• L p estimates for stopping times of Bessel processes
• On the exact constants in one-sided maximal inequalities for Bessel processes

This page was built for publication: One-sided maximal inequalities for a randomly stopped Bessel process