Exact inequalities for the maximum of a skew Brownian motion

DOI10.3103/S0027132212040055zbMath1282.60081MaRDI QIDQ355255

Ya. A. Lyul'ko

Publication date: 24 July 2013

Published in: Moscow University Mathematics Bulletin (Search for Journal in Brave)

zbMATH Keywords

strong solutionstochastic equationstochastic inequalitiesskew Brownian motionoptimal stopping problemMarkov moment

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Infinite-dimensional random dynamical systems; stochastic equations (37L55)

Related Items (2)

Maximal Exponential Inequalities for Certain Diffusion Processes ⋮ Sharp maximal inequalities for stochastic processes

Cites Work

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• On the constructions of the skew Brownian motion
• On skew Brownian motion
• Optimal stopping and maximal inequalities for geometric Brownian motion
• A maximal inequality for skew Brownian motion

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