A maximal inequality for skew Brownian motion

Zhitlukhin Mikhail V.

Statistics & Risk Modeling, 2009, vol. 27, issue 3, 261-280

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.

Keywords: maximal inequality; skew Brownian motion; optimal stopping (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:bpj:strimo:v:27:y:2009:i:3:p:261-280:n:5

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DOI: 10.1524/stnd.2009.1061

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