Maximal Inequalities for CIR Processes
β Scribed by Litan Yan; Yingchun Li
- Book ID
- 111598066
- Publisher
- Springer
- Year
- 2004
- Tongue
- English
- Weight
- 170 KB
- Volume
- 67
- Category
- Article
- ISSN
- 0377-9017
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
## Abstract Let __X~a,b~__ be nonnegative random variables with the property that __X~a,b~ β¦ X~a,c~ + X~c.b~__ for all 0__β¦ a < c < b β¦ T__, where __T >__ 0 is fixed. We define __M~a,b~ =__ sup {__X~a,c~: a < c β¦ h__} and establish bounds for __P__[__M~a,b~ β§ Ξ»__] in terms of given bounds for __P[X
The One Parameter Inequality Process (OPIP) long predates the Saved Wealth Model (SWM) to which it is isomorphic up to the different choice of stochastic driver of wealth exchange. Both are stochastic interacting particle systems intended to model wealth and income distribution. The OPIP and other v
Let ((Z t ), P z ) be a Bessel process of dimension :>0 started at z under P z for z 0. Then the maximal inequality is shown to be satisfied for all stopping times { for (Z t ) with E z ({ pΓ2 )< , and all p>(2&:) 6 0. The constants ( pΓ( p&(2&:))) pΓ(2&:) and pΓ( p&(2&:)) are the best possible. If