34
Views
2
CrossRef citations to date
0
Altmetric
Original Articles

Optimal stopping problem for continuous local martingales and some sharp inequalities

&
Pages 21-33 | Published online: 04 Apr 2007

References

  • Davis , B. 1976 . On the Lp norms of stochastic integrals and other martingales . Duke Math.J. , 43 ( 4 ) : 697 – 704 .
  • Dubins , L. E. , Shepp , L. A. and Shiryaev , A. N. 1993 . Optimal stopping rules and maximal inequalities for Bessel process . Theory Probability and Application , 38 ( 2 ) : 226 – 261 .
  • Dynkin , E. B. and Yuchkevitch , A. A. 1967 . “ Theorems and problems on Markov processes ” . 1 – 232 . Moscow : Nauka .
  • Graversen , S. E. and Peskir , G. 1994 . “ Solution to a Wald's type optimal stopping problem for Brownian motion, Aarhus University ” . Vol. 10 , 1 – 14 . Preprint (accepted in J. A. P.)
  • Jacka , S. D. 1991 . Optimal stopping and best constants for Doob-like inequalities I: the case p= 1 . The Annals of Probability , 19 ( 4 ) : 1798 – 1821 .
  • Mirochnitchenko , T. P. 1979 . Testing of two simple hypothesis in the presence of delayed observations . Theory Probability and Application , 24 ( 4 ) : 467 – 479 .
  • Krylov , N. V. 1977 . “ Controlled diffusion processes ” . 1 – 400 . Moscow : Nauka .
  • Shiryaev , A. N. 1976 . “ Statistical sequential analysis ” . 1 – 272 . Moscow : Nauka .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.