A sharp maximal inequality for a geometric Brownian motion

DOI10.11650/tjm.19.2015.2551zbMath1357.60044OpenAlexW2029354033MaRDI QIDQ514864

Cloud Makasu

Publication date: 9 March 2017

Published in: Taiwanese Journal of Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.11650/tjm.19.2015.2551

zbMATH Keywords

maximal inequalitynonlinear differential equationoptimal stopping problem

Mathematics Subject Classification ID

Brownian motion (60J65) Nonlinear first-order PDEs (35F20) Stopping times; optimal stopping problems; gambling theory (60G40) PDEs with randomness, stochastic partial differential equations (35R60)

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