Optimal Stopping in the L log L -Inequality of Hardy and Littlewood

DOI10.1112/S0024609397003858MaRDI QIDQ4354262zbMATH OpenFDO

Authors Goran Peskir, Svend-Erik Graversen

Publication date 15 September 1997

Published in Bulletin of the London Mathematical Society (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1112/S0024609397003858

zbMATH Keywords

\(L\log L\)-inequalityHardy-Littlewood inequalityoptimal stoppingstopping times

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Continuous-time Markov processes on general state spaces (60J25) Diffusion processes (60J60) Brownian motion (60J65)

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Cited in

(7)

• Optimal stopping inequalities for the integral of Brownian paths
• On Doob's maximal inequality for Brownian motion
• A logarithmic bound for a stopped Brownian motion
• The Best Bound in the L logL Inequality of Hardy and Littlewood and its Martingale Counterpart
• Optimal Stopping in the L log L -Inequality of Hardy and Littlewood
• The integral analogue of the Hardy-Littlewood <i>L</i> log <i>L</i>-inequality for Brownian motion
• Optimal stopping under g-Expectation with -integrable reward process

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