Quelques inégalités avec le temps local en zero du mouvement Brownien

P. Vallois

Stochastic Processes and their Applications, 1992, vol. 41, issue 1, 117-155

Abstract: Assume [phi] is a convex fonction, L is the local time at 0 of a Brownian motion B, started at 0 and [mu] is the set of good Brownian stopping times, embedding a fixed law [mu] on . We show that the maximum (resp. minimum) of E([phi](LT)), where belongs to [mu], is reached for an explicit stopping time. We compute 'best' constants in some inequalities involving LT and BT. We also give some new inequalities with LT and LT/B*T.

Date: 1992
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