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This article is cited in 5 scientific papers (total in 5 papers)
Sharp maximal inequalities for stochastic processes
Ya. A. Lyulkoa, A. N. Shiryaevbc a National Research University "Higher School of Economics", Moscow, Russia
b M. V. Lomonosov Moscow State University, Faculty of Mechanics and Mathematics, Moscow, Russia
c Steklov Mathematical Institute of Russian Academy of Sciences, Moscow, Russia
Abstract:
This work is a survey of existing methods and results in the problem of estimating the mathematical expectation of the maximum of a random process up to an arbitrary Markov time. Both continuous-time (standard Brownian motion, skew Brownian motion, Bessel processes) and discrete-time (symmetric Bernoulli random walk and its modulus) processes are considered.
Received in February 2014
Citation:
Ya. A. Lyulko, A. N. Shiryaev, “Sharp maximal inequalities for stochastic processes”, Stochastic calculus, martingales, and their applications, Collected papers. Dedicated to Academician Albert Nikolaevich Shiryaev on the occasion of his 80th birthday, Trudy Mat. Inst. Steklova, 287, MAIK Nauka/Interperiodica, Moscow, 2014, 162–181; Proc. Steklov Inst. Math., 287:1 (2014), 155–173
Linking options:
https://www.mathnet.ru/eng/tm3575https://doi.org/10.1134/S0371968514040104 https://www.mathnet.ru/eng/tm/v287/p162
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