Geodesic
On maximal inequalities for Ornstein--Uhlenbeck processes with jumps
Teoriâ veroâtnostej i ee primeneniâ, Tome 66 (2021) no. 4, pp. 895-913

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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.
Keywords: generalized Ornstein–Uhlenbeck processes, maximal inequality, the Graversen–Peskir inequality
Mots-clés : the Legendre transformation. 
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     author = {N. E. Kordzakhia and A. A. Novikov},
     title = {On maximal inequalities for {Ornstein--Uhlenbeck} processes with jumps},
     journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
     pages = {895--913},
     publisher = {mathdoc},
     volume = {66},
     number = {4},
     year = {2021},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/TVP_2021_66_4_a12/}
}
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N. E. Kordzakhia; A. A. Novikov. On maximal inequalities for Ornstein--Uhlenbeck processes with jumps. Teoriâ veroâtnostej i ee primeneniâ, Tome 66 (2021) no. 4, pp. 895-913. http://geodesic.mathdoc.fr/item/TVP_2021_66_4_a12/