Maximal inequalities for the Ornstein-Uhlenbeck process

DOI10.1090/S0002-9939-00-05345-4zbMATH Open0954.60062MaRDI QIDQ4501095FDOQ4501095

Authors: Goran Peskir, Svend-Erik Graversen 

Publication date: 3 September 2000

Published in: Proceedings of the American Mathematical Society (Search for Journal in Brave)

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zbMATH Keywords

Gaussian processBrownian motionstopping timediffusion processmaximal inequalitymaximum processOrnstein-Uhlenbeck velocity processLangevin stochastic differential equationLenglart's domination principle

Mathematics Subject Classification ID

Gaussian processes (60G15) Inequalities; stochastic orderings (60E15) Diffusion processes (60J60) Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40)

Cites Work

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Cited In (32)

• Geometric bounds on the Ornstein-Uhlenbeck velocity process
• Harnack inequalities in infinite dimensions
• Long time dynamics for interacting oscillators on graphs
• L p estimates on a time-inhomogeneous diffusion process
• Pairs trading based on statistical variability of the spread process
• A note on the domination inequalities and their applications
• Least absolute deviation estimation for AR(1) processes with roots close to unity
• Maximum likelihood estimation for multiscale Ornstein-Uhlenbeck processes
• Some improvements on the \(L_p \) inequalities for diffusion processes
• Moderate maximal inequalities for the Ornstein-Uhlenbeck process
• Quasi-stationary distribution for the Langevin process in cylindrical domains. II: Overdamped limit
• Occupation times and beyond.
• Strong convergence rates for Markovian representations of fractional processes
• Controlling the running maximum of a diffusion process and an application to queueing systems
• Title not available (Why is that?)
• \(L^p\)-estimates on a ratio involving a Bessel process
• Identification of unstable fixed points for randomly perturbed dynamical systems with multistability
• Affine representations of fractional processes with applications in mathematical finance
• Mean first exit times of Ornstein–Uhlenbeck processes in high-dimensional spaces
• Moderate and \(L^p\) maximal inequalities for diffusion processes and conformal martingales
• A ratio inequality for Bessel processes.
• A law of large numbers for interacting diffusions via a mild formulation
• Theory and applications of multivariate self-normalized processes
• Sharp maximal inequalities for stochastic processes
• Limit theorems for \(\sigma\)-localized Émery convergence
• Power Brownian motion: an Ornstein-Uhlenbeck lookout
• \(L^p\)-estimates on diffusion processes
• Iterated integrals with respect to Bessel processes
• On Maximal Inequalities for Ornstein--Uhlenbeck Processes with Jumps
• Controlling the velocity of Brownian motion by its terminal value
• Sharp moderate maximal inequalities for upward skip-free Markov chains
• Pathwise convergence of the hard spheres Kac process

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