On Stopping Times for a Wiener Process

DOI10.1137/1116049zbMath0258.60037OpenAlexW2088402688MaRDI QIDQ5674186

Alexander Novikov

Publication date: 1971

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/1116049

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic integrals (60H05)

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Lie symmetries methods in boundary crossing problems for diffusion processes ⋮ Crossing an asymptotically square-root boundary by the Brownian motion ⋮ The Kolmogorov Inequality for the Maximum of the Sum of Random Variables and Its Martingale Analogues ⋮ Exit probability levels of diffusion processes ⋮ Remarks on moment inequalities and identities for martingales ⋮ Sharp Square-Function Inequalities for Conditionally Symmetric Martingales ⋮ One-sided maximal functions and H\(^p\) ⋮ Brownian motion hitting probabilities for general two-sided square-root boundaries ⋮ PASSPORT OPTIONS ⋮ On the first hitting time density for a reducible diffusion process ⋮ Semi-martingale inequalities via the Garsia-Rodemich-Rumsey lemma, and applications to local times ⋮ On Brownian slow points ⋮ Obstacle Problems Generated by the Estimates of Square Function ⋮ Solving non–linear optimal stopping problems by the method of time–change

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