2006-09-11Buch DOI: 10.18452/3990
On Maximal Inequalities for some Jump Processes
Gapeev, Pavel V.
We present a solution to the considered in  and  optimal stopping problem for some jump processes. The method of proof is based on reducing the initial problem to an integro-differential free-boundary problem where the normal reflection and smooth fit may break down and the latter then be replaced by the continuous fit. The derived result is applied for determining the best constants in maximal inequalities for a compound Poisson process with linear drift and exponential jumps.
Dateien zu dieser Publikation
Is Part Of Series: Sonderforschungsbereich 649: Ökonomisches Risiko - 60, SFB 649 Papers, ISSN:1860-5664