Optimal stopping inequalities for the integral of Brownian paths (Q1269069): Difference between revisions
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Revision as of 11:00, 11 February 2024
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English | Optimal stopping inequalities for the integral of Brownian paths |
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Optimal stopping inequalities for the integral of Brownian paths (English)
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8 April 1999
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The author derives inequalities for Brownian path integrals of the form \(E(\int_0^\tau F(|B_\tau |) dt)\) in terms of the expected value of the stopping time \(\tau\), resp. in terms of the expected value of some power of the stopping time. These inequalities are similar to the Burkholder-Davis inequality which is also a major tool in the derivation. Another tool is provided by solving an appropriate optimal stopping problem.
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Brownian path integrals
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optimal stopping
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inequalities
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