Optimal stopping inequalities for the integral of Brownian paths

DOI10.1006/JMAA.1998.5937zbMath0930.60054OpenAlexW2131691221MaRDI QIDQ1269069

Goran Peskir

Publication date: 8 April 1999

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/00413b524e6cbfb1434d70de59b982c5a757404d

zbMATH Keywords

inequalitiesoptimal stoppingBrownian path integrals

Mathematics Subject Classification ID

Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40)

Cites Work

• On the \(L^p\) norms of stochastic integrals and other martingales
• On wald-type optimal stopping for Brownian motion
• A First Passage Problem for the Wiener Process
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