One-sided maximal inequalities for a randomly stopped bessel process
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Date
2023
Authors
Journal Title
Journal ISSN
Volume Title
Publisher
Taylor & Francis Group, LLC
Abstract
We prove a one-sided maximal inequality for a randomly stopped Bessel process of dimension (Formula presented.) For the special case when α = 1, we obtain a sharp Burkholder-Gundy inequality for Brownian motion as a consequence. An application of the present results is also given.
Description
Keywords
Bessel processes, Burkholder-Gundy inequalities, Optimal stopping problem, Dimension formula, Maximal inequalities
Citation
Makasu, C., 2023. One-sided maximal inequalities for a randomly stopped Bessel process. Sequential Analysis, pp.1-7.