Title of article :
Optimal Stopping Inequalities for the Integral of
Brownian Paths
Author/Authors :
Goran Pe?skir*، نويسنده ,
Issue Information :
دوهفته نامه با شماره پیاپی سال 1998
Pages :
11
From page :
244
To page :
254
Abstract :
Let Bs Bt.tG0 be a Brownian motion started at xgR. Given a stopping time
t for B and a real valued map F, we show how one can optimally bound:
t
EHF
Keywords :
optimal stopping , integral of Brownian path , Brownian motion , Burkholder]Davis’ inequality , occupation times formula , hitting time , Itˆo]Tanaka formula , square root boundary. , Doob’s optional sampling theorem
Journal title :
Journal of Mathematical Analysis and Applications
Serial Year :
1998
Journal title :
Journal of Mathematical Analysis and Applications
Record number :
931741
Link To Document :
