Martingales, Tauberian Theorem, and Strategies of Gambling

DOI10.1137/S0040585X9797571XzbMATH Open0895.60047MaRDI QIDQ4384404FDOQ4384404

Authors: A. Novikov 

Publication date: 8 September 1998

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

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zbMATH Keywords

optimal stoppinglocal martingalesuniform integrabilitysharp inequalitiesWald equationboundary crossing problemgambling strategies

Mathematics Subject Classification ID

Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40)

Cited In (17)

• Asymptotics of first-passage time over a one-sided stochastic boundary
• Nowak's Theorem on Probability Measures Induced by Strategies Revisited
• The Kolmogorov Inequality for the Maximum of the Sum of Random Variables and Its Martingale Analogues
• First-passage times for random walks with nonidentically distributed increments
• First passage problems over increasing boundaries for Lévy processes with exponentially decayed Lévy measures
• Technical Note—Path-Dependent and Randomized Strategies in Barberis’ Casino Gambling Model
• Weak tail conditions for local martingales
• Title not available (Why is that?)
• Crossing an asymptotically square-root boundary by the Brownian motion
• Limit at Zero of the First-Passage Time Density and the Inverse Problem for One-Dimensional Diffusions
• On distibutions of first passage times of martingales arising in some gambling problems
• The first passage time problem over a moving boundary for asymptotically stable Lévy processes
• Derivative martingale of the branching Brownian motion in dimension \(d\ge 1\)
• On the first-passage times of certain Gaussian processes, and related asymptotics
• Curve crossing for random walks reflected at their maximum
• The tail estimation of the quadratic variation of a quasi left continuous local martingale
• On the First-Passage Time of a Diffusion Process Over a One-Sided Stochastic Boundary

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