A maximal inequality for skew Brownian motion

DOI10.1524/STND.2009.1061MaRDI QIDQ4930141zbMATH OpenOpenAlexFDO

Authors M. V. Zhitlukhin

Publication date 28 September 2010

Published in Statistics & Decisions (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1524/stnd.2009.1061

zbMATH Keywords

maximal inequalityoptimal stoppingskew Brownian motion

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Stopping times; optimal stopping problems; gambling theory (60G40) Brownian motion (60J65)

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Cited in

(9)

• Three-dimensional Brownian motion and the golden ratio rule
• On maximal inequalities via comparison principle
• A maximal inequality for skew Brownian motion
• Exact inequalities for the maximum of a skew Brownian motion
• Quickest detection of a hidden target and extremal surfaces
• On some functional inequalities for skew Brownian motion
• Sharp maximal inequalities for stochastic processes
• On the distribution of maxima of a skew Brownian motion and a skew random walk on some random time intervals
• Maximal Brownian motions

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