On wald-type optimal stopping for Brownian motion

DOI10.2307/3215175MaRDI QIDQ4339248zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Brownian motionBurkholder-Gundy inequalityDoob's optional sampling theoremoptimal stopping timeWald's identity for Brownian motion

Mathematics Subject Classification ID

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

Recommendations

• On a Property of the Moment at Which Brownian Motion Attains Its Maximum and Some Optimal Stopping Problems
• On Wald Optimal Stopping Problem for Geometric Brownian Motions
• Stopping Brownian motion without anticipation as close as possible to its ultimate maximum
• The Maximality Principle Revisited: On Certain Optimal Stopping Problems
• The integral analogue of the Hardy-Littlewood <i>L</i> log <i>L</i>-inequality for Brownian motion

Cited in

(11)

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

This page was built for publication: On wald-type optimal stopping for Brownian motion

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4339248)