La Peña, Victor H. De; Yang, Ming - In: Statistics & Probability Letters 67 (2004) 1, pp. 1-7
Let [zeta]t, t[greater-or-equal, slanted]0, be a process taking nonnegative values, Tr=inf{t0;[zeta]tr}, r0, and [psi] a nondecreasing function. An interesting question is: Is it possible to bound E[psi](Tr) above and below by expectations of functions of [zeta]t? We answer this question and give...