A SHARP MAXIMAL INEQUALITY FOR A GEOMETRIC BROWNIAN MOTION
نویسندگان
چکیده
منابع مشابه
A SHARP MAXIMAL INEQUALITY FOR A GEOMETRIC BROWNIAN MOTION Cloud Makasu
The original motivation of the present paper is the maximal inequality for a geometric Brownian motion proved by Graversen and Peskir [1], see also Peskir [2]. The result is derived from explicit forms of an optimal stopping problem with a constant observation cost. For a related class of optimal stopping problems, but with zero observation costs, see for instance Shepp and Shiryaev ([3],[4]). ...
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ژورنال
عنوان ژورنال: Taiwanese Journal of Mathematics
سال: 2015
ISSN: 1027-5487
DOI: 10.11650/tjm.19.2015.2551