Pedersen, Jesper Lund - In: Journal of Multivariate Analysis 75 (2000) 1, pp. 36-46
Let ((Zt), Pz) be a Bessel process of dimension [alpha]0 started at z under Pz for z[greater-or-equal, slanted]0. Then the maximal inequalityis shown to be satisfied for all stopping times [tau] for (Zt) with Ez([tau]p/2)<[infinity], and all p>(2-[alpha])[logical or]0. The constants (p/(p-(2-[alpha])))p/(2-[alpha])...</[infinity],>