On the exact constants in one-sided maximal inequalitiesfor Bessel processes

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Date

2023

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Taylor and Francis Group

Abstract

In this paper, we establish a one-sided maximal moment inequalitywith exact constants for Bessel processes. As a consequence, weobtain an exact constant in the Burkholder-Gundy inequality. Theproof of our main result is based on a pure optimal stopping prob-lem of the running maximum process for a Bessel process. The pre-sent results extend and complement a number of related resultspreviously known in the literature.

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Keywords

Mathematics, Bessel processes, Burkholder-Gundy inequalities, Applied Mathematics

Citation

Makasu, C. (2023). On the exact constants in one-sided maximal inequalities for Bessel processes. Sequential Analysis, 42(1), 35–42. https://doi.org/10.1080/07474946.2022.2150778

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https://doi.org/10.1080/07474946.2022.2150778
 http://hdl.handle.net/10566/8620

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Research Articles (Mathematics)