One-sided maximal inequalities for a stock process
From MaRDI portal
Publication:2408789
DOI10.1016/j.jmaa.2017.01.061zbMath1383.60022MaRDI QIDQ2408789
Publication date: 13 October 2017
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmaa.2017.01.061
60E15: Inequalities; stochastic orderings
60J65: Brownian motion
60G40: Stopping times; optimal stopping problems; gambling theory
91G80: Financial applications of other theories
Cites Work
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- Comparison theorems for differential equations
- Optimal stopping of the maximum process: The maximality principle
- The Russian option: Reduced regret
- Bounds for Solutions of Ordinary Differential Equations
- Optimal stopping and maximal inequalities for geometric Brownian motion