Maximal Exponential Inequalities for Certain Diffusion Processes
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Publication:2967988
DOI10.1137/S0040585X97T988083zbMath1386.60274WikidataQ115525476 ScholiaQ115525476MaRDI QIDQ2967988
Publication date: 9 March 2017
Published in: Theory of Probability & Its Applications (Search for Journal in Brave)
Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60)
Cites Work
- Exact inequalities for the maximum of a skew Brownian motion
- Sharp maximal inequalities for stochastic processes
- On Doob's maximal inequality for Brownian motion
- Optimal stopping of the maximum process: The maximality principle
- The Russian option: Reduced regret
- A maximal inequality for skew Brownian motion
- Optimal stopping and maximal inequalities for geometric Brownian motion
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