On maximal inequalities for random processes |
Prof. Dr. Dr.h.c. Albert N. Shiryaev (Moskau) |
Friday, 2015-01-30 16:15 |
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In the talk we give methods and results to the problem of estimation the expectation of the maximum of a random process until a Markov time. We consider cases of continuous time (standard Brownian motion, skew Brownian motion, Bessel processes). Also we consider case of discrete time (Bernoulli random walk, its module and others). |