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Best Bounds in Doob's Maximal Inequality for Bessel Processes

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  • Pedersen, Jesper Lund

Abstract

Let ((Zt), Pz) be a Bessel process of dimension [alpha]>0 started at z under Pz for z[greater-or-equal, slanted]0. Then the maximal inequalityis shown to be satisfied for all stopping times [tau] for (Zt) with Ez([tau]p/2) (2-[alpha])[logical or]0. The constants (p/(p-(2-[alpha])))p/(2-[alpha]) and p/(p-(2-[alpha])) are the best possible. If [lambda] is the greater root of the equation [lambda]1-(2-[alpha])/p-[lambda]=(2-[alpha])/(cp-c(2-[alpha])), the equality is attained in the limit through the stopping timeswhen c tends to the best constant (p/(p-(2-[alpha])))p/(2-[alpha]) from above. Moreover we show that Ez([tau]q/2[lambda], p) ((1-(2-[alpha])/q)[logical or]0)p/(2-[alpha]). The proof of the inequality is based upon solving the optimal stopping problemby applying the principle of smooth fit and the maximality principle. In addition, the exact formula for the expected waiting time of the optimal strategy is derived by applying the minimality principle. The main emphasis of the paper is on the explicit expressions obtained.

Suggested Citation

  • Pedersen, Jesper Lund, 2000. "Best Bounds in Doob's Maximal Inequality for Bessel Processes," Journal of Multivariate Analysis, Elsevier, vol. 75(1), pages 36-46, October.
    • Handle: RePEc:eee:jmvana:v:75:y:2000:i:1:p:36-46
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    Cited by:

    1. Osȩkowski, Adam, 2015. "A sharp maximal inequality for one-dimensional Dunkl martingales," Statistics & Probability Letters, Elsevier, vol. 105(C), pages 114-119.
    2. Yan, Litan & Zhu, Bei, 2004. "A ratio inequality for Bessel processes," Statistics & Probability Letters, Elsevier, vol. 66(1), pages 35-44, January.

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