A sharp maximal inequality for a geometric Brownian motion

DOI10.11650/TJM.19.2015.2551MaRDI QIDQ514864zbMATH OpenOpenAlexFDO

Authors Cloud Makasu

Publication date 9 March 2017

Published in Taiwanese Journal of Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.11650/tjm.19.2015.2551

zbMATH Keywords

optimal stopping problemmaximal inequalitynonlinear differential equation

Mathematics Subject Classification ID

Brownian motion (60J65) Nonlinear first-order PDEs (35F20) PDEs with randomness, stochastic partial differential equations (35R60) Stopping times; optimal stopping problems; gambling theory (60G40)

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Cited in

(8)

• A maximal inequality for skew Brownian motion
• Continuity Correction for Barrier Options in Jump-Diffusion Models
• On Wald Optimal Stopping Problem for Geometric Brownian Motions
• One-sided maximal inequalities for a stock process
• Geometric bounds on certain sublinear functionals of geometric Brownian motion
• Processes that can be embedded in a geometric Brownian motion
• On a property of the distribution of a Brownian motion with drift and its maximum
• Maximal exponential inequalities for certain diffusion processes

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