A sharp maximal inequality for a geometric Brownian motion
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Publication:514864
DOI10.11650/tjm.19.2015.2551zbMath1357.60044MaRDI QIDQ514864
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
60J65: Brownian motion
35F20: Nonlinear first-order PDEs
60G40: Stopping times; optimal stopping problems; gambling theory
35R60: PDEs with randomness, stochastic partial differential equations