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Optimal stopping of the maximum process: the maximality principle

https://doi.org/10.1214/aop/1022855875
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

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Optimal Stopping Inequalities for the Integral of Brownian Paths
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Best Bounds in Doob's Maximal Inequality for Bessel Processes
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Brownian Motion and Stochastic Calculus
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Brownian Motion and Stochastic Calculus
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The Best Doob-Type Bounds for the Maximum of Brownian Paths
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Optimal Stopping Rules
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Two problems of sequential analysis
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On the ratio of the expected maximum of a martingale and theL p-norm of its last term
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Une solution simple au probleme de Skorokhod
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Explorations in martingale theory and its applications
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Doob's inequalities revisited: A maximal H1-embedding
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On Doob's maximal inequality for Brownian motion
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Designing options given the risk: the optimal Skorokhod-embedding problem
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Diffusions, Markov Processes and Martingales
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On the distribution of maxima of martingales
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The best bound in the 𝐿𝑙𝑜𝑔𝐿 inequality of Hardy and Littlewood and its martingale counterpart
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Optimal Stopping in the L log L -Inequality of Hardy and Littlewood
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Optimal Stopping Rules and Maximal Inequalities for Bessel Processes
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A New Look at Pricing of the ”Russian Option“
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The Russian Option: Reduced Regret
inferredcites →https://doi.org/10.1214/aop/1176990237openalex-snapshot
Optimal Stopping and Best Constants for Doob-like Inequalities I: The Case $p = 1$
inferredcites →https://doi.org/10.1214/lnms/1215465632openalex-snapshot
Some sharp martingale inequalities related to Doob's inequality
inferredcites →https://doi.org/10.1239/jap/1032438381openalex-snapshot
Optimal stopping and maximal inequalities for geometric Brownian motion
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The Best Bound in the L logL Inequality of Hardy and Littlewood and its Martingale Counterpart
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On wald-type optimal stopping for Brownian motion
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On the Russian option: The expected waiting time

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

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