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

DOI10.1007/BF01139924zbMath0561.60056MaRDI QIDQ2266524

Alexander Novikov

Publication date: 1984

Published in: Mathematical Notes (Search for Journal in Brave)

zbMATH Keywords

hitting timeexponential martingale

Mathematics Subject Classification ID

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

Related Items (1)

Asymptotically optimal sequential tests for nonhomogeneous processes

Cites Work

• Unnamed Item
• On the amount of variance needed to escape from a strip
• Random stopping preserves regular variation of process distributions
• An approximation of partial sums of independent RV's, and the sample DF. II
• On Ruin Problems for a Compound Poisson Process

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