Iterated integrals with respect to Bessel processes

DOI10.1016/j.spl.2005.04.026zbMath1079.60053OpenAlexW2010948120MaRDI QIDQ2387335

Litan Yan, Jingyun Ling

Publication date: 2 September 2005

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2005.04.026

zbMATH Keywords

iterated stochastic integrals

Mathematics Subject Classification ID

Stochastic integrals (60H05)

Related Items (1)

\(L^p\)-estimates on a ratio involving a Bessel process

Cites Work

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• Stopping times of Bessel processes
• Maximal inequalities for Bessel processes
• A survey and some generalizations of Bessel processes
• A ratio inequality for Bessel processes.
• Semi-martingale inequalities via the Garsia-Rodemich-Rumsey lemma, and applications to local times
• Diffusion processes and their sample paths.
• L\({}^ p\) estimates on iterated stochastic integrals
• Bessel diffusions as a one-parameter family of diffusion processes
• L p estimates for stopping times of Bessel processes
• Inequalities for Non-Moderate Functions of a Pair of Stochastic Processes
• Some ratio inequalities for iterated stochastic integrals
• Maximal inequalities for the Ornstein-Uhlenbeck process

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