A maximal inequality for skew Brownian motion

Mikhail V. Zhitlukhin

doi:10.1524/stnd.2009.1061

Published by De Gruyter (A) November 19, 2010

A maximal inequality for skew Brownian motion

Mikhail V. Zhitlukhin

From the journal Statistics & Decisions

https://doi.org/10.1524/stnd.2009.1061

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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

^* Correspondence address: Lomonosov Moscow State University, Faculty of Mechanics and Mathematics, GSP-1, 1 Leninskiye Gory, Department of Probability Theory, Moscow 119991, Russische Föderation, zhitlukhin@gmail.com

Published Online: 2010-11-19

Published in Print: 2009-12

A maximal inequality for skew Brownian motion

Abstract

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