On maximal inequalities for Ornstein–Uhlenbeck processes with jumps

N. E. Kordzakhia; A. A. Novikov

doi:10.1137/S0040585X97T990691

On maximal inequalities for Ornstein–Uhlenbeck processes with jumps

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Abstract

We derive moment and exponential inequalities for the maximum of a generalized Ornstein–Uhlenbeck process under some assumptions on tail distributions of a jump component.

Original language	English
Pages (from-to)	713-728
Number of pages	16
Journal	Theory of Probability and its Applications
Volume	66
Issue number	4
DOIs	https://doi.org/10.1137/S0040585X97T990691
Publication status	Published - 2022

Keywords

generalized Ornstein–Uhlenbeck processes
maximal inequality
the Graversen– Peskir inequality
the Legendre transformation

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10.1137/S0040585X97T990691

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title = "On maximal inequalities for Ornstein–Uhlenbeck processes with jumps",

abstract = "We derive moment and exponential inequalities for the maximum of a generalized Ornstein–Uhlenbeck process under some assumptions on tail distributions of a jump component.",

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AU - Novikov, A. A.

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AB - We derive moment and exponential inequalities for the maximum of a generalized Ornstein–Uhlenbeck process under some assumptions on tail distributions of a jump component.

KW - generalized Ornstein–Uhlenbeck processes

KW - maximal inequality

KW - the Graversen– Peskir inequality

KW - the Legendre transformation

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M3 - Article

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EP - 728

JO - Theory of Probability and its Applications

JF - Theory of Probability and its Applications

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ER -

On maximal inequalities for Ornstein–Uhlenbeck processes with jumps

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Keywords

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