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On Maximal Inequalities for Ornstein--Uhlenbeck Processes with Jumps
Theory of Probability and Its Applications ( IF 0.5 ) Pub Date : 2022-02-03 , DOI: 10.1137/s0040585x97t990691
N. E. Kordzakhia , A. A. Novikov

Theory of Probability &Its Applications, Volume 66, Issue 4, Page 713-728, February 2022.
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.


中文翻译:

关于 Ornstein 的最大不等式--带跳跃的 Uhlenbeck 过程

概率理论及其应用,第 66 卷,第 4 期,第 713-728 页,2022 年 2 月
。在对跳跃分量尾部分布的一些假设下,我们推导出广义 Ornstein-Uhlenbeck 过程的最大值的矩和指数不等式。
更新日期:2022-02-03
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