Some inequalities with local times in zero of a Brownian motion
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Publication:1198557
DOI10.1016/0304-4149(92)90150-OzbMath0754.60089MaRDI QIDQ1198557
Publication date: 16 January 1993
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Brownian motionextremal solutionslocal timestopping timescontinuous local martingaleHardy-Littlewood's inequalitySkorokhod's problem
Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales and classical analysis (60G46) Local time and additive functionals (60J55)
Related Items (10)
Some results on Skorokhod embedding and robust hedging with local time ⋮ An explicit solution to the Skorokhod embedding problem for functionals of excursions of Markov processes ⋮ Fake exponential Brownian motion ⋮ Boundedness and continuity of the Lévy transform in analysis ⋮ ROBUST BOUNDS FOR FORWARD START OPTIONS ⋮ Pathwise inequalities for local time: Applications to Skorokhod embeddings and optimal stopping ⋮ An optimal Skorokhod embedding for diffusions ⋮ Skorokhod embeddings, minimality and non-centred target distributions ⋮ Embedding of Walsh Brownian motion ⋮ A free boundary characterisation of the root barrier for Markov processes
Cites Work
- A converse to the dominated convergence theorem
- Good λ inequalities for the area integral and the nontangential maximal function
- Les inegalites de sous-martingales, comme consequences de la relation de domination
- On the Distribution of Maxima of Martingale
- The Existence of Certain Stopping Times on Brownian Motion
- On a Theorem of Skorohod
- On Embedding Right Continuous Martingales in Brownian Motion
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