On the exponential Orlicz norms of stopped Brownian motion

DOI10.4064/sm-117-3-253-273zbMath0849.60039OpenAlexW2148217585MaRDI QIDQ4882846

Goran Peskir

Publication date: 7 November 1996

Published in: Studia Mathematica (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/216255

zbMATH Keywords

Brownian motionstopping timecontinuous local martingalemartingale inequalitiesexponential Orlicz norm

Mathematics Subject Classification ID

Spaces of measurable functions ((L^p)-spaces, Orlicz spaces, Köthe function spaces, Lorentz spaces, rearrangement invariant spaces, ideal spaces, etc.) (46E30) Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Stochastic integrals (60H05)

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