A sharp maximal inequality for one-dimensional Dunkl martingales

被引：0
|
作者：
Osekowski, Adam [1 ]
机构：
[1] Univ Warsaw, Dept Math Informat & Mech, PL-02097 Warsaw, Poland
来源：
STATISTICS & PROBABILITY LETTERS | 2015年 / 105卷
关键词：
Dunkl martingale; Maximal; Optimal stopping; Best constant;
D O I：
10.1016/j.spl.2015.06.008
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
Let X = (X-t)(t >= 0) be a one-dimensional Dunkl process of parameter k >= 0, starting from 0. For any p >= 1, we find the least constant C-p,C-k is an element of (0, infinity] in the Doob-type inequality [GRAPHICS] where tau runs over all p/2-integrable stopping times of X. The proof exploits optimal stopping techniques. (C) 2015 Elsevier B.V. All rights reserved.
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页码：114 / 119
页数：6
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