The sharp constant for the Burkholder-Davis-Gundy inequality and non-smooth pasting

DOI10.3150/17-BEJ935zbMath1429.60045arXiv1507.07699MaRDI QIDQ1708974

Florian Stebegg, Walter Schachermayer

Publication date: 27 March 2018

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1507.07699

zbMATH Keywords

optimal stoppingordinary integro-differential equationsBDG inequalitynon-smooth pasting

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44)

Related Items (4)

On Maximal Inequalities for Ornstein--Uhlenbeck Processes with Jumps ⋮ The Kolmogorov Inequality for the Maximum of the Sum of Random Variables and Its Martingale Analogues ⋮ One-sided maximal inequalities for a randomly stopped Bessel process ⋮ Sharpness of Lenglart's domination inequality and a sharp monotone version

Cites Work

• Unnamed Item
• Unnamed Item
• The right time to sell a stock whose price is driven by Markovian noise
• Sequential testing problems for Poisson processes.
• Pathwise versions of the Burkholder-Davis-Gundy inequality
• Martingale inequalities and deterministic counterparts
• On the integrability of the martingale square function
• Extrapolation and interpolation of quasi-linear operators on martingales
• Martingales and stochastic integrals. I
• Some remarks on first passage of Lévy processes, the American put and pasting principles
• Russian and American put options under exponential phase-type Lévy models.
• The best constant in the Davis inequality for the expectation of the martingale square function
• Compactness of stopping times
• Perpetual American Options Under Lévy Processes
• A First Passage Problem for the Wiener Process

This page was built for publication: The sharp constant for the Burkholder-Davis-Gundy inequality and non-smooth pasting