Stopping Times of Bessel Processes
DeBlassie, R. Dante
Ann. Probab., Tome 15 (1987) no. 4, p. 1044-1051 / Harvested from Project Euclid
Let $X^x_\alpha$ be a Bessel process with parameter $\alpha$, starting at $x \geq 0$. Gordon [3] obtained $L^p$ inequalities which relate stopping times to stopping places for the case $\alpha = 1, x = 0$ and $p > \frac{1}{2}$. Rosenkrantz and Sawyer [5] extended them to $\alpha > 0, x = 0$ and $p \geq 1$. Burkholder [1] obtained results for $\alpha$ a positive integer, $x \geq 0$ and $p > 0$. Here we consider arbitrary starting points $x, \alpha > 0$ and $p > 0$. The $L^p$ inequalities are valid for $\alpha \geq 2$ with $p > 0$, and also for $0 < \alpha < 2$ with $p > (2 - \alpha)/2$. Examples are constructed to show that for $0 < \alpha < 2$ with $p \leq (2 - \alpha)/2$, the $L^p$ inequalities cannot hold.
Publié le : 1987-07-14
Classification:  Bessel processes,  stopping times,  $L^p$-inequalities,  60J60,  60G40
@article{1176992079,
     author = {DeBlassie, R. Dante},
     title = {Stopping Times of Bessel Processes},
     journal = {Ann. Probab.},
     volume = {15},
     number = {4},
     year = {1987},
     pages = { 1044-1051},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176992079}
}
DeBlassie, R. Dante. Stopping Times of Bessel Processes. Ann. Probab., Tome 15 (1987) no. 4, pp.  1044-1051. http://gdmltest.u-ga.fr/item/1176992079/