On wald-type optimal stopping for Brownian motion

DOI10.2307/3215175zbMATH Open0876.60023OpenAlexW2144774602MaRDI QIDQ4339248FDOQ4339248

Authors: Goran Peskir, Svend-Erik Graversen 

Publication date: 10 November 1997

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3215175

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zbMATH Keywords

Brownian motionoptimal stopping timeBurkholder-Gundy inequalityDoob's optional sampling theoremWald's identity for Brownian motion

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Stochastic integrals (60H05)

Cited In (10)

• Optimal Stopping Problems for a Brownian Motion with Disorder on a Segment
• Moment inequalities for functionals of the Brownian convex hull
• Optimal stopping inequalities for the integral of Brownian paths
• On a Property of the Moment at Which Brownian Motion Attains Its Maximum and Some Optimal Stopping Problems
• Optimal stopping problems for some Markov processes
• Optimal Brownian stopping when the source and target are radially symmetric distributions
• Optimal stopping of oscillating Brownian motion
• The optimal decision rule in the Kiefer-Weiss problem for a Brownian motion
• Sharp maximal inequalities for stochastic processes
• On Wald Optimal Stopping Problem for Geometric Brownian Motions

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