Sharp maximal inequalities for stochastic processes-Reference-Cited by-同舟云学术

Sharp maximal inequalities for stochastic processes

Published:2014-12 Issue:1 Volume:287 Page:155-173
ISSN:0081-5438
Container-title:Proceedings of the Steklov Institute of Mathematics
language:en
Short-container-title:Proc. Steklov Inst. Math.

Author:

Lyulko Ya. A.,Shiryaev A. N.

Publisher

Pleiades Publishing Ltd

Subject

Mathematics (miscellaneous)

Link

http://link.springer.com/content/pdf/10.1134/S0081543814080100.pdf

Reference26 articles.

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2. L. E. Dubins, L. A. Shepp, and A. N. Shiryaev, “Optimal stopping rules and maximal inequalities for Bessel processes,” Teor. Veroyatn. Primen. 38(2), 288–330 (1993) [Theory Probab. Appl. 38, 226–261 (1994)].

3. K. Itô and H. P. McKean, Jr., Diffusion Processes and Their Sample Paths (Springer, Berlin, 1965; Mir, Moscow, 1965).

4. Ya. A. Lyul’ko, “Exact inequalities for the maximum of a skew Brownian motion,” Vestn. Mosk. Univ., Ser. 1: Mat., Mekh., No. 4, 26–31 (2012) [Moscow Univ. Math. Bull. 67, 164–169 (2012)].

5. A. S. Mishchenko, “A discrete Bessel process and its properties,” Teor. Veroyatn. Primen. 50(4), 797–806 (2005) [Theory Probab. Appl. 50, 700–709 (2006)].

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