On Stopping Times for a Wiener Process

DOI10.1137/1116049MaRDI QIDQ5674186zbMATH OpenOpenAlexFDO

Authors A. Novikov

Publication date 1971

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

Full work available at URL https://doi.org/10.1137/1116049

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic integrals (60H05)

Cited in

(15)

• One-sided maximal functions and H^p
• Semi-martingale inequalities via the Garsia-Rodemich-Rumsey lemma, and applications to local times
• Remarks on moment inequalities and identities for martingales
• Crossing an asymptotically square-root boundary by the Brownian motion
• Exit probability levels of diffusion processes
• Sharp Square-Function Inequalities for Conditionally Symmetric Martingales
• PASSPORT OPTIONS
• Solving non–linear optimal stopping problems by the method of time–change
• On Brownian slow points
• On the first hitting time density for a reducible diffusion process
• Obstacle problems generated by the estimates of square function
• The Kolmogorov Inequality for the Maximum of the Sum of Random Variables and Its Martingale Analogues
• Boundary crossing problems and functional transformations for Ornstein-Uhlenbeck processes
• Lie symmetries methods in boundary crossing problems for diffusion processes
• Brownian motion hitting probabilities for general two-sided square-root boundaries

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