Maximal inequalities for CIR processes (Q1877322)

From MaRDI portal
scientific article
Language Label Description Also known as
English
Maximal inequalities for CIR processes
scientific article

    Statements

    Maximal inequalities for CIR processes (English)
    0 references
    0 references
    0 references
    16 August 2004
    0 references
    Let \(X\) be a Cox-Ingersoll-Ross process solving the stochastic differential equation \[ dX_t=(a+bX_t)dt+c\sqrt{| X_t| }dB_t \] with \(X_0=0\), where \(a, c > 0\), \(b \in {\mathbb R}\) and \(B\) is a standard Brownian motion started at zero. Some inequalities between the integral functional \(J_{\varphi}(t)=\int_0^t\varphi(X_s)ds\), \(t \geq 0\), and the maximum process \(\sup_{0 \leq s \leq t} X_t\), \(t \geq 0\), where \(x \mapsto \varphi(x)\) is a nonnegative continuous function with some suitable conditions, are derived.
    0 references
    Bessel processes and domination principle
    0 references
    Cox-Ingersoll-Ross process
    0 references
    diffusion process
    0 references
    Itô's formula, maximal inequalities
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references