Optimal stopping problem for continuous local martingales and some sharp inequalities

DOI10.1080/17442509708834114zbMath0884.60036OpenAlexW2033301766MaRDI QIDQ4354631

T. P. Mirochnitchenko, Leonid I. Galtchouk

Publication date: 23 March 1998

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442509708834114

zbMATH Keywords

Wiener processoptimal stoppingsharp inequalitiesleast concave majorantcontinuous martingales

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44)

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