Estimates for the diameter of a martingale

DOI10.1080/17442508.2014.939977zbMATH Open1326.60059OpenAlexW2030560809MaRDI QIDQ5265784FDOQ5265784

Authors: Adam Osȩkowski 

Publication date: 29 July 2015

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2014.939977

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zbMATH Keywords

martingalesBrownian motiondiameteroptimal stopping problem

Mathematics Subject Classification ID

Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44)

Cites Work

• Optimal stopping of the maximum process: The maximality principle
• Quickest detection of a hidden target and extremal surfaces
• A Change-of-Variable Formula with Local Time on Surfaces
• On the Decomposition of Continuous Submartingales
• ON CONTINUOUS MARTINGALES
• On the expected diameter of an \(L_{2}\)-bounded martingale
• Doob's inequalities revisited: A maximal \(H^ 1\)-embedding

Cited In (4)

• On the Diameter of the Stopped Spider Process
• The maximal difference among expert's opinions
• On the expected diameter of an \(L_{2}\)-bounded martingale
• Bounds on the probability of radically different opinions

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