Best Bounds in Doob's Maximal Inequality for Bessel Processes

Jesper Lund Pedersen

Journal of Multivariate Analysis, 2000, vol. 75, issue 1, 36-46

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.

Keywords: Bessel process; Doobs maximal inequality; optimal stopping; the principle of smooth fit; the maximality principle; free boundary problem; Ito-Tanaka formula; Burkholder-Davis-Gundy inequality; the minimality principle (search for similar items in EconPapers)
Date: 2000
References: View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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