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Sequential Analysis
Design Methods and Applications
Volume 42, 2023 - Issue 1
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Articles

On the exact constants in one-sided maximal inequalities for Bessel processes

Pages 35-42 | Received 16 Aug 2022, Accepted 26 Oct 2022, Published online: 04 Jan 2023

REFERENCES

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  • Dubins, L. E., L. A. Shepp, and A. N. Shiryaev. 1994. “Optimal Stopping Rules and Maximal Inequalities for Bessel Processes.” Theory of Probability & Its Applications 38 (2):226–61.
  • Graversen, S. E., and G. Peskir. 1998. “Maximal Inequalities for Bessel Processes.” Journal of Inequalities and Applications (2):621735.
  • Lakshmikantham, V. 1962. “Upper and Lower Bounds of the Norm of Solutions of Differential Equations.” Proceedings of the American Mathematical Society 13 (4):615–6.
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  • Szarski, J. 1965. Differential Inequalities. Warszawa: Polish Scientific Publishers.
  • Walter, W. 1964. Differential and Integral Inequalities. Berlin: Springer-Verlag.

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