Optimal stopping problem for continuous local martingales and some sharp inequalities
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Publication:4354631
DOI10.1080/17442509708834114zbMath0884.60036MaRDI QIDQ4354631
T. P. Mirochnitchenko, Leonid I. Galtchouk
Publication date: 23 March 1998
Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442509708834114
Wiener process; optimal stopping; sharp inequalities; least concave majorant; continuous martingales
60G40: Stopping times; optimal stopping problems; gambling theory
60G44: Martingales with continuous parameter
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