On the exact constants in one-sided maximal inequalitiesfor Bessel processes
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Date
2023
Authors
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Journal ISSN
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Publisher
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