On wald-type optimal stopping for Brownian motion

DOI10.2307/3215175zbMath0876.60023OpenAlexW2144774602MaRDI QIDQ4339248

Goran Peskir, Svend-Erik Graversen

Publication date: 10 November 1997

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3215175

zbMATH Keywords

Brownian motionoptimal stopping timeBurkholder-Gundy inequalityDoob's optional sampling theoremWald's identity for Brownian motion

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Stochastic integrals (60H05)

Related Items (4)

Optimal stopping problems for some Markov processes ⋮ On Wald Optimal Stopping Problem for Geometric Brownian Motions ⋮ Sharp maximal inequalities for stochastic processes ⋮ Optimal stopping inequalities for the integral of Brownian paths

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