Bounds for exponential moments of Bessel processes
Bull. Korean Math. Soc.
Published online May 21, 2019
Cloud Makasu
Dept of Maths and Applied Maths, University of the Western Cape
Abstract : In this paper, we have established an upper estimate for exponential moments of the maximum of a Bessel process
with dimension 0<\theta\leq 1.
Keywords : Bessel processes, comparison principle, optimal stopping problem, Young inequality
MSC numbers : 60G40, 34A40, 60E15
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