On the exponential Orlicz norms of stopped Brownian motion

DOI10.4064/SM-117-3-253-273zbMATH Open0849.60039OpenAlexW2148217585MaRDI QIDQ4882846FDOQ4882846

Authors: Goran Peskir 

Publication date: 7 November 1996

Published in: Studia Mathematica (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/216255

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zbMATH Keywords

Brownian motionstopping timecontinuous local martingalemartingale inequalitiesexponential Orlicz norm

Mathematics Subject Classification ID

Brownian motion (60J65) Spaces of measurable functions ((L^p)-spaces, Orlicz spaces, Köthe function spaces, Lorentz spaces, rearrangement invariant spaces, ideal spaces, etc.) (46E30) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Stochastic integrals (60H05)

Cited In (7)

• Hausdorff and Fourier dimension of graph of continuous additive processes
• On the Burkholder-Davis-Gundy inequalities for continuous martingales
• Fréchet differentiable drift dependence of Perron–Frobenius and Koopman operators for non-deterministic dynamics
• On the Fourier analytic structure of the Brownian graph
• Gaussian stochastic volatility models: scaling regimes, large deviations, and moment explosions
• Strong convergence rates of probabilistic integrators for ordinary differential equations
• Title not available (Why is that?)

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