A sharp maximal inequality for a geometric Brownian motion

DOI10.11650/tjm.19.2015.2551zbMath1357.60044MaRDI QIDQ514864

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

maximal inequality; nonlinear differential equation; optimal stopping problem

Mathematics Subject Classification ID

60J65: Brownian motion

35F20: Nonlinear first-order PDEs

60G40: Stopping times; optimal stopping problems; gambling theory

35R60: PDEs with randomness, stochastic partial differential equations