Exact inequalities for the maximum of a skew Brownian motion

DOI10.3103/S0027132212040055MaRDI QIDQ355255zbMATH OpenFDO

Authors Ya. A. Lyulko

Publication date 24 July 2013

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

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)

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Cites work

• scientific article; zbMATH DE number 5016447 (Why is no real title available?)
• scientific article; zbMATH DE number 4098413 (Why is no real title available?)
• scientific article; zbMATH DE number 482632 (Why is no real title available?)
• scientific article; zbMATH DE number 942202 (Why is no real title available?)
• scientific article; zbMATH DE number 3246758 (Why is no real title available?)
• A maximal inequality for skew Brownian motion
• On skew Brownian motion
• On the constructions of the skew Brownian motion
• Optimal stopping and maximal inequalities for geometric Brownian motion

Cited in

(7)

• On the distribution of maxima of a skew Brownian motion and a skew random walk on some random time intervals
• On maximal inequalities via comparison principle
• On some functional inequalities for skew Brownian motion
• Maximal exponential inequalities for certain diffusion processes
• A maximal inequality for skew Brownian motion
• A maximal inequality for skew Brownian motion
• Sharp maximal inequalities for stochastic processes

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