Martingale identities and inequalities and their applications in nonlinear boundary-value problems for random processes

DOI10.1007/BF01139924MaRDI QIDQ2266524zbMATH OpenFDO

Authors A. Novikov

Publication date 1984

Published in Mathematical Notes (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/BF01139924

zbMATH Keywords

exponential martingalehitting time

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Brownian motion (60J65)

Review text

Translation from Mat. Zametki 35, No.3, 455-471 (Russian) (1984; Zbl 0541.60047).

Cites work

• An approximation of partial sums of independent RV's, and the sample DF. II
• scientific article; zbMATH DE number 3433322 (Why is no real title available?)
• On Ruin Problems for a Compound Poisson Process
• On the amount of variance needed to escape from a strip
• Random stopping preserves regular variation of process distributions

Cited in

(5)

• Bounded variation approximation of L_p dyadic martingales and solutions to elliptic equations
• Remarks on moment inequalities and identities for martingales
• scientific article; zbMATH DE number 3860104 (Why is no real title available?)
• scientific article; zbMATH DE number 3911415 (Why is no real title available?)
• Asymptotically optimal sequential tests for nonhomogeneous processes

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