Optimal embeddings by unbiased shifts of Brownian motion

DOI10.1112/BLMS.12030zbMath1379.60094arXiv1605.07529OpenAlexW2407127185MaRDI QIDQ5357072

Peter Mörters, István Redl

Publication date: 13 September 2017

Published in: Bulletin of the London Mathematical Society (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1605.07529

zbMATH Keywords

embedding problemunbiased shifttwo-sided Brownian motiondiscrete concavity inequalitynon-negative unbiased solutionsnon-negative, concave functionsorthogonal probability measures

Mathematics Subject Classification ID

Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Functional inequalities, including subadditivity, convexity, etc. (39B62) Existence of optimal solutions to problems involving randomness (49J55)

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