Gapeev, Pavel V. - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006
we obtain that for any arbitrary stopping time ¿ of the process X the following
inequality is satisfied:
E
h
max
0•u•¿
Xu … the form Xt = Jt ¡t=‚2 for all t ‚ 0.
Then from Corollary 4.1 and the inequality (5.10) it follows that for any stopping … following inequality holds:
E
h
max
0•u•¿
Xu
i
•
p1+2E[¿]=‚¡1
‚ : (5.12)
Example 5.2. Let the process X = (Xt)t‚0 be of the form …