A note on explicit bounds for a stopped Feynman-Kac functional

Cloud Makasu

Statistics & Probability Letters, 2010, vol. 80, issue 23-24, 1977-1979

Abstract: Let Qt=(xt,yt) be a two-dimensional geometric Brownian motion which is possibly correlated starting at (x,y) in the positive quadrant, and let [tau] be an -stopping time generated by the process Qt. Under certain conditions, we prove that where [Phi] is a bounded Borel function, C>0, [mu]>1, n>1 are constants and g* is an explicit bound for a solution of a certain second order ordinary differential equation. The present result extends and supplements the explicit upper bound in Hu and Øksendal (1998).

Keywords: Geometric; Brownian; motions; Optimal; stopping; inequality (search for similar items in EconPapers)
Date: 2010
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