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A maximal inequality for skew Brownian motion
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Mikhail V. Zhitlukhin
Published/Copyright:
November 19, 2010
Abstract
We prove a maximal inequality for skew Brownian motion. This result generalizes similar inequalities for standard Brownian motion ([2]) and its modulus ([3, 4]). The proof relies on the solution to an optimal stopping problem.
Published Online: 2010-11-19
Published in Print: 2009-12
© by Oldenbourg Wissenschaftsverlag, Moscow 119991, Germany
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Articles in the same Issue
- A note on pivotal Value-at-Risk estimates
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- On the mean residual waiting time of records
- A maximal inequality for skew Brownian motion
