Stopping times of Bessel processes

DOI10.1214/aop/1176992079zbMath0645.60082OpenAlexW2124271810MaRDI QIDQ1103275

Richard Dante DeBlassie

Publication date: 1987

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1176992079

zbMATH Keywords

Bessel processstopping times\(L^ p\) inequalities

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60)

Related Items (12)

On the exact constants in one-sided maximal inequalities for Bessel processes ⋮ Iterated integrals with respect to Bessel processes ⋮ The influence of a power law drift on the exit time of Brownian motion from a half-line ⋮ A sharp maximal inequality for one-dimensional Dunkl martingales ⋮ Moments and tails of hitting times of Bessel processes and convolutions of elementary mixtures of exponential distributions ⋮ One-sided maximal inequalities for a randomly stopped Bessel process ⋮ A ratio inequality for Bessel processes. ⋮ BOUNDS FOR EXPONENTIAL MOMENTS OF BESSEL PROCESSES ⋮ Best bounds in Doob's maximal inequality for Bessel processes ⋮ Invariance formulas for stopping times of squared Bessel process ⋮ Some improvements on the L_p inequalities for diffusion processes ⋮ L p estimates on a time-inhomogeneous diffusion process

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