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A logarithmic bound for a stopped Brownian motion - MaRDI portal

A logarithmic bound for a stopped Brownian motion

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Publication:2798171

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DOI10.1080/07362994.2015.1099444zbMath1335.60061OpenAlexW2215702563MaRDI QIDQ2798171

Adam Osȩkowski

Publication date: 1 April 2016

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

Full work available at URL: https://doi.org/10.1080/07362994.2015.1099444

zbMATH Keywords

free boundary problem Brownian motion optimal stopping problem Burkholder-Davis-Gundy inequality

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Other nonlinear integral equations (45G10) Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Free boundary problems for PDEs (35R35)

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