Computing the expectation of the Azéma-Yor stopping times
Annales de l'I.H.P. Probabilités et statistiques, Volume 34 (1998) no. 2, p. 265-276
@article{AIHPB_1998__34_2_265_0,
     author = {Pedersen, J. L. and Pe\v skir, G.},
     title = {Computing the expectation of the Az\'ema-Yor stopping times},
     journal = {Annales de l'I.H.P. Probabilit\'es et statistiques},
     publisher = {Gauthier-Villars},
     volume = {34},
     number = {2},
     year = {1998},
     pages = {265-276},
     zbl = {0903.60067},
     mrnumber = {1614599},
     language = {en},
     url = {http://www.numdam.org/item/AIHPB_1998__34_2_265_0}
}
Pedersen, J. L.; Peškir, G. Computing the expectation of the Azéma-Yor stopping times. Annales de l'I.H.P. Probabilités et statistiques, Volume 34 (1998) no. 2, pp. 265-276. http://www.numdam.org/item/AIHPB_1998__34_2_265_0/

[1] J. Azéma and M. Yor, Une solution simple au problème de Skorokhod. Sém. Prob. XIII. Lecture Notes in Math. 784, Springer-Verlag Berlin Heidelberg, 1979, pp. 90-115 and 625-633. | Numdam | MR 544782 | Zbl 0414.60055

[2] L.E. Dubins L. A. Shepp and A.N. Shiryaev, Optimal stopping rules and maximal inequalities for Bessel processes. Theory Probab. Appl., Vol. 38, 1993, pp. 226-261. | MR 1317981 | Zbl 0807.60040

[3] S.E. Graversen and G. Peškir, Optimal stopping and maximal inequalities for linear diffusions. Research Report No. 335, Dept. Theoret. Stat. Aarhus (18 pp), 1995. To appear in J. Theoret. Probab. | MR 1607439 | Zbl 0905.60058

[4] S.E. Graversen and G. Peškir, On Doob's maximal inequality for Brownian motion. Research Report No. 337, Dept. Theoret. Stat. Aarhus (13 pp), 1995. Stochastic Process. Appl., Vol. 69, 1997, pp. 111-125. | MR 1464177 | Zbl 0913.60011

[5] D. Revuz and M. Yor, Continuous Martingales and Brownian Motion. Springer-Verlag. | Zbl 0731.60002

[6] L.C.G. Rogers and D. Williams, Diffusions, Markov Processes, and Martingales; Volume 2: Itô's Calculus. John Wiley & Sons, 1987. | Zbl 0627.60001

[7] L.A. Shepp and A.N. Shiryaev, The Russian Option: Reduced Regret. Ann. Appl. Probab. 3, 1993, pp. 631-640. | MR 1233617 | Zbl 0783.90011