Computing the expectation of the Azéma-Yor stopping times

J. L. Pedersen; G. Peškir

Annales de l'I.H.P. Probabilités et statistiques (1998)

  • Volume: 34, Issue: 2, page 265-276
  • ISSN: 0246-0203

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Pedersen, J. L., and Peškir, G.. "Computing the expectation of the Azéma-Yor stopping times." Annales de l'I.H.P. Probabilités et statistiques 34.2 (1998): 265-276. <http://eudml.org/doc/77603>.

@article{Pedersen1998,
author = {Pedersen, J. L., Peškir, G.},
journal = {Annales de l'I.H.P. Probabilités et statistiques},
keywords = {diffusion; Itô-Tanaka’s formula; Wiener process; Bessel process},
language = {eng},
number = {2},
pages = {265-276},
publisher = {Gauthier-Villars},
title = {Computing the expectation of the Azéma-Yor stopping times},
url = {http://eudml.org/doc/77603},
volume = {34},
year = {1998},
}

TY - JOUR
AU - Pedersen, J. L.
AU - Peškir, G.
TI - Computing the expectation of the Azéma-Yor stopping times
JO - Annales de l'I.H.P. Probabilités et statistiques
PY - 1998
PB - Gauthier-Villars
VL - 34
IS - 2
SP - 265
EP - 276
LA - eng
KW - diffusion; Itô-Tanaka’s formula; Wiener process; Bessel process
UR - http://eudml.org/doc/77603
ER -

References

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  1. [1] J. Azéma and M. Yor, Une solution simple au problème de Skorokhod. Sém. Prob. XIII. Lecture Notes in Math.784, Springer-VerlagBerlinHeidelberg, 1979, pp. 90-115 and 625-633. Zbl0414.60055MR544782
  2. [2] L.E. Dubins L. A. Shepp and A.N. Shiryaev, Optimal stopping rules and maximal inequalities for Bessel processes. Theory Probab. Appl., Vol. 38, 1993, pp. 226-261. Zbl0807.60040MR1317981
  3. [3] S.E. Graversen and G. Peškir, Optimal stopping and maximal inequalities for linear diffusions. Research Report No. 335, Dept. Theoret. Stat. Aarhus (18 pp), 1995. To appear in J. Theoret. Probab. Zbl0905.60058MR1607439
  4. [4] S.E. Graversen and G. Peškir, On Doob's maximal inequality for Brownian motion. Research Report No. 337, Dept. Theoret. Stat. Aarhus (13 pp), 1995. Stochastic Process. Appl., Vol. 69, 1997, pp. 111-125. Zbl0913.60011MR1464177
  5. [5] D. Revuz and M. Yor, Continuous Martingales and Brownian Motion. Springer-Verlag. Zbl0731.60002
  6. [6] L.C.G. Rogers and D. Williams, Diffusions, Markov Processes, and Martingales; Volume 2: Itô's Calculus. John Wiley & Sons, 1987. Zbl0627.60001
  7. [7] L.A. Shepp and A.N. Shiryaev, The Russian Option: Reduced Regret. Ann. Appl. Probab.3, 1993, pp. 631-640. Zbl0783.90011MR1233617

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