Trudy Matematicheskogo Instituta imeni V.A. Steklova
RUS  ENG    JOURNALS   PEOPLE   ORGANISATIONS   CONFERENCES   SEMINARS   VIDEO LIBRARY   PACKAGE AMSBIB  
General information
Latest issue
Forthcoming papers
Archive
Impact factor
Guidelines for authors
License agreement

Search papers
Search references

RSS
Latest issue
Current issues
Archive issues
What is RSS


Trudy Mat. Inst. Steklova:
Year:
Volume:
Issue:
Page:
Find




Personal entry:
Login:
Password:
Save password
Enter
Forgotten password?
Register

Trudy Matematicheskogo Instituta imeni V.A. Steklova, 2014, Volume 287, Pages 162–181
DOI: https://doi.org/10.1134/S0371968514040104 (Mi tm3575) 		 
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
Full-text PDF (335 kB) Citations (5)
References:
PDF
HTML
DOI: https://doi.org/10.1134/S0371968514040104
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.
Funding agency Grant number
Ministry of Education and Science of the Russian Federation 14.A12.31.0007
Russian Foundation for Basic Research 14-01-00739
This work was supported by the International Laboratory of Quantitative Finance, National Research University Higher School of Economics (contract no. 14.A12.31.0007 with the Ministry of Education and Science of the Russian Federation), and by the Russian Foundation for Basic Research (project no. 14-01-00739).
Received in February 2014
English version:
Proceedings of the Steklov Institute of Mathematics, 2014, Volume 287, Issue 1, Pages 155–173
DOI: https://doi.org/10.1134/S0081543814080100
Bibliographic databases:
Document Type: Article
UDC: 519.216
Language: Russian
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
Citation in format AMSBIB
\Bibitem{LyuShi14}
\by Ya.~A.~Lyulko, A.~N.~Shiryaev
\paper Sharp maximal inequalities for stochastic processes
\inbook Stochastic calculus, martingales, and their applications
\bookinfo Collected papers. Dedicated to Academician Albert Nikolaevich Shiryaev on the occasion of his 80th birthday
\serial Trudy Mat. Inst. Steklova
\yr 2014
\vol 287
\pages 162--181
\publ MAIK Nauka/Interperiodica
\publaddr Moscow
\mathnet{http://mi.mathnet.ru/tm3575}
\crossref{https://doi.org/10.1134/S0371968514040104}
\elib{https://elibrary.ru/item.asp?id=22681993}
\transl
\jour Proc. Steklov Inst. Math.
\yr 2014
\vol 287
\issue 1
\pages 155--173
\crossref{https://doi.org/10.1134/S0081543814080100}
\isi{https://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=Publons&SrcAuth=Publons_CEL&DestLinkType=FullRecord&DestApp=WOS_CPL&KeyUT=000348379600010}
\elib{https://elibrary.ru/item.asp?id=24030875}
\scopus{https://www.scopus.com/record/display.url?origin=inward&eid=2-s2.0-84921932043}
Linking options:
  • https://www.mathnet.ru/eng/tm3575
  • https://doi.org/10.1134/S0371968514040104
  • https://www.mathnet.ru/eng/tm/v287/p162
    • This publication is cited in the following 5 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    		Труды Математического института имени В. А. Стеклова Proceedings of the Steklov Institute of Mathematics
    Statistics & downloads:
    Abstract page:279
    Full-text PDF :96
    References:45
     
      Contact us:
    		  Terms of Use  Registration to the website  Logotypes © Steklov Mathematical Institute RAS, 2024