Maximal exponential inequalities for certain diffusion processes

DOI10.1137/S0040585X97T988083MaRDI QIDQ2967988zbMATH OpenWikidataFDO

Authors Cloud Makasu

Publication date 9 March 2017

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/S0040585X97T988083

zbMATH Keywords

Brownian motiongeometric Brownian motionoptimal stopping problem

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Brownian motion (60J65)

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Cites work

• A maximal inequality for skew Brownian motion
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• On Doob's maximal inequality for Brownian motion
• Optimal stopping and maximal inequalities for geometric Brownian motion
• Optimal stopping of the maximum process: The maximality principle
• Sharp maximal inequalities for stochastic processes
• The Russian option: Reduced regret

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(11)

• Maximal inequalities for CIR processes
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• scientific article; zbMATH DE number 849079 (Why is no real title available?)
• Moderate maximal inequalities for the Ornstein-Uhlenbeck process
• A sharp maximal inequality for a geometric Brownian motion
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• Bounding the maximal height of a diffusion by the time elapsed
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