On the exponential Orlicz norms of stopped Brownian motion

DOI10.4064/SM-117-3-253-273MaRDI QIDQ4882846zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Brownian motioncontinuous local martingaleexponential Orlicz normmartingale inequalitiesstopping time

Mathematics Subject Classification ID

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) Brownian motion (60J65)

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