Exact inequalities for the maximum of a skew Brownian motion

DOI10.3103/S0027132212040055zbMATH Open1282.60081MaRDI QIDQ355255FDOQ355255

Authors: Ya. A. Lyulko 

Publication date: 24 July 2013

Published in: Moscow University Mathematics Bulletin (Search for Journal in Brave)

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zbMATH Keywords

optimal stopping problemskew Brownian motionstrong solutionMarkov momentstochastic equationstochastic inequalities

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Brownian motion (60J65) Infinite-dimensional random dynamical systems; stochastic equations (37L55) Stopping times; optimal stopping problems; gambling theory (60G40)

Cites Work

• On skew Brownian motion
• Title not available (Why is that?)
• On the constructions of the skew Brownian motion
• Title not available (Why is that?)
• Title not available (Why is that?)
• Optimal stopping and maximal inequalities for geometric Brownian motion
• Title not available (Why is that?)
• Title not available (Why is that?)
• A maximal inequality for skew Brownian motion

Cited In (5)

• A maximal inequality for skew Brownian motion
• Maximal Exponential Inequalities for Certain Diffusion Processes
• A maximal inequality for skew Brownian motion
• Sharp maximal inequalities for stochastic processes
• On the distribution of maxima of a skew Brownian motion and a skew random walk on some random time intervals

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