A maximal inequality for skew Brownian motion

DOI10.1070/RM2009V064N05ABEH004644zbMath1206.60075OpenAlexW1973071441MaRDI QIDQ3550943

Mikhail Zhitlukhin

Publication date: 8 April 2010

Published in: Russian Mathematical Surveys (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1070/rm2009v064n05abeh004644

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40)

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Maximal Exponential Inequalities for Certain Diffusion Processes

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