Optimization of joint \(p\)-variations of Brownian semimartingales

DOI10.1214/ECP.v19-2975zbMath1333.60081OpenAlexW2147062366MaRDI QIDQ457782

Nicolas Landon, Emmanuel Gobet

Publication date: 29 September 2014

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/ecp.v19-2975

zbMATH Keywords

almost sure convergence\(p\)-variationsBrownian semimartingalesoptimal stopping times

Mathematics Subject Classification ID

Strong limit theorems (60F15) Brownian motion (60J65) Generalizations of martingales (60G48) Stopping times; optimal stopping problems; gambling theory (60G40) Sample path properties (60G17)

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Optimal discretization of stochastic integrals driven by general Brownian semimartingale

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