鞅的直径估计

IF 0.8 4区数学 Q3 MATHEMATICS, APPLIED Stochastics-An International Journal of Probability and Stochastic Processes Pub Date : 2015-01-13 DOI:10.1080/17442508.2014.939977

A. Osȩkowski

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引用次数: 3

摘要

我们建立了停止布朗运动直径的锐弱型和对数估计。然后，利用标准嵌入定理，将结果推广到一般实值连续路径鞅的情况。证明的基础是找到相应的三维最优停止问题的解。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Estimates for the diameter of a martingale

We establish sharp weak type and logarithmic estimates for the diameter of the stopped Brownian motion. Then, using standard embedding theorems, we extend the results to the case of general real-valued continuous-path martingales. The proof rests on finding of the solutions to the corresponding three-dimensional optimal stopping problems.

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来源期刊

Stochastics-An International Journal of Probability and Stochastic Processes MATHEMATICS, APPLIED-STATISTICS & PROBABILITY

CiteScore

1.90

自引率

0.00%

发文量

审稿时长

>12 weeks

期刊介绍： Stochastics: An International Journal of Probability and Stochastic Processes is a world-leading journal publishing research concerned with stochastic processes and their applications in the modelling, analysis and optimization of stochastic systems, i.e. processes characterized both by temporal or spatial evolution and by the presence of random effects. Articles are published dealing with all aspects of stochastic systems analysis, characterization problems, stochastic modelling and identification, optimization, filtering and control and with related questions in the theory of stochastic processes. The journal also solicits papers dealing with significant applications of stochastic process theory to problems in engineering systems, the physical and life sciences, economics and other areas. Proposals for special issues in cutting-edge areas are welcome and should be directed to the Editor-in-Chief who will review accordingly. In recent years there has been a growing interaction between current research in probability theory and problems in stochastic systems. The objective of Stochastics is to encourage this trend, promoting an awareness of the latest theoretical developments on the one hand and of mathematical problems arising in applications on the other.