A ratio inequality for Bessel processes

Litan Yan and Bei Zhu

Statistics & Probability Letters, 2004, vol. 66, issue 1, 35-44

Abstract: Let Z=(Zt)t[greater-or-equal, slanted]0 be a Bessel process of dimension [delta]>0 starting at zero. In this paper we show that the inequalitieshold for all 0 [phi](x) is a positive continuous function on [0,[infinity]) satisfying [lambda]1x[less-than-or-equals, slant][phi](x)[less-than-or-equals, slant][lambda]2xe[lambda]3x for three constants [lambda]1,[lambda]2,[lambda]3>0.

Keywords: Stochastic; differential; equations; Bessel; processes; Brownian; motion; Martingales; Ito's; formula; and; domination; relation (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (1)

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