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  • Search: subject:"the principle of smooth fit"
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Bessel process 1 Brownian motion Optimal stopping (time) The principle of smooth fit Submartingale The maximality principle Stephan's problem with moving boundary Ito-Tanaka's formula Burkholder-Gundy's inequality 1 Burkholder-Davis-Gundy inequality 1 Doob's maximal inequality 1 Doobs maximal inequality 1 Ito-Tanaka formula 1 free boundary problem 1 optimal stopping 1 the maximality principle 1 the minimality principle 1 the principle of smooth fit 1
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Article 2
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Undetermined 2
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Graversen, S. E. 1 Pedersen, Jesper Lund 1 Peskir, G. 1
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Journal of Multivariate Analysis 1 Stochastic Processes and their Applications 1
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RePEc 2
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Best Bounds in Doob's Maximal Inequality for Bessel Processes
Pedersen, Jesper Lund - In: Journal of Multivariate Analysis 75 (2000) 1, pp. 36-46
of smooth fit and the maximality principle. In addition, the exact formula for the expected waiting time of the optimal …]0)p/(2-[alpha]). The proof of the inequality is based upon solving the optimal stopping problemby applying the principle …
Persistent link: https://www.econbiz.de/10005160363
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Cover Image
On Doob's maximal inequality for Brownian motion
Graversen, S. E.; Peskir, G. - In: Stochastic Processes and their Applications 69 (1997) 1, pp. 111-125
] > 0 and all 0 < [lambda] < 2. The method of proof relies upon the principle of smooth fit and the maximality principle for …
Persistent link: https://www.econbiz.de/10008874410
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