One-sided maximal inequalities for a randomly stopped Bessel process

DOI10.1080/07474946.2023.2193593OpenAlexW4377691974MaRDI QIDQ6166464FDOQ6166464

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

optimal stopping problemBessel processesBurkholder-Gundy inequalities

Mathematics Subject Classification ID

Sequential statistical methods (62Lxx)

Cites Work

• Optimal stopping of the maximum process: The maximality principle
• Title not available (Why is that?)
• Title not available (Why is that?)
• Exit times of Brownian motion, harmonic majorization, and Hardy spaces
• On the strong and weak solutions of stochastic differential equations governing Bessel processes
• Bessel diffusions as a one-parameter family of diffusion processes
• Maximal inequalities for Bessel processes
• Bessel-like processes and SDE
• Stopping times of Bessel processes
• A ratio inequality for Bessel processes.
• L p estimates for stopping times of Bessel processes
• The sharp constant for the Burkholder-Davis-Gundy inequality and non-smooth pasting
• On the exact constants in one-sided maximal inequalities for Bessel processes
• The mean of the running maximum of an integrated Gauss-Markov process and the connection with its first-passage time

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