A maximal inequality for skew Brownian motion

DOI10.1524/STND.2009.1061zbMath1201.60019OpenAlexW1513192549MaRDI QIDQ4930141

Mikhail Zhitlukhin

Publication date: 28 September 2010

Published in: Statistics & Decisions (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1524/stnd.2009.1061

zbMATH Keywords

optimal stoppingmaximal inequalityskew Brownian motion

Mathematics Subject Classification ID

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

Related Items (4)

Exact inequalities for the maximum of a skew Brownian motion ⋮ Three-dimensional Brownian motion and the golden ratio rule ⋮ Quickest detection of a hidden target and extremal surfaces ⋮ Sharp maximal inequalities for stochastic processes

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