One-sided maximal inequalities for a randomly stopped Bessel process

DOI10.1080/07474946.2023.2193593MaRDI QIDQ6166464zbMATH OpenOpenAlexFDO

Authors 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 processesBurkholder-Gundy inequalitiesoptimal stopping problem

Mathematics Subject Classification ID

Sequential statistical methods (62Lxx)

Cites work

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• On the strong and weak solutions of stochastic differential equations governing Bessel processes
• Optimal stopping of the maximum process: The maximality principle
• Stopping times of Bessel processes
• The mean of the running maximum of an integrated Gauss-Markov process and the connection with its first-passage time
• The sharp constant for the Burkholder-Davis-Gundy inequality and non-smooth pasting

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