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315618

On Some Stochastic Integrals and Dold a Stopped Brownian Motion

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Last updated: 28 Dec 2024

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Abstract

For every non-negative number , let X(θ ,t) be a Brownian motion Let Tθ be the first time the process drops a specified amount below its maximum to data. We study stochastic integrals of the form Y(s) = ∫[0, s] v(θ) dw(θ) ,s ≥ 0, where W(θ) = x (θ,T) and V(θ) is a nonanticipating random process. It is assumed that W(θ) has independent increments. We derive an exponential bound for (p(y(s ≥ b))).

DOI

10.21608/esju.1979.315618

Keywords

Stochastic Integrals - Dold A Stopped Brownian Motion, Non anticipating Random Process - Exponential Bound

Authors

First Name

Khairia

Last Name

El-Nadi

MiddleName

El-Said

Affiliation

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Orcid

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Volume

23

Article Issue

1

Related Issue

43260

Issue Date

1979-06-01

Receive Date

2023-09-02

Publish Date

1979-06-01

Page Start

1

Page End

12

Print ISSN

0542-1748

Online ISSN

2786-0086

Link

https://esju.journals.ekb.eg/article_315618.html

Detail API

https://esju.journals.ekb.eg/service?article_code=315618

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Type

Original Article

Type Code

1,914

Publication Type

Journal

Publication Title

The Egyptian Statistical Journal

Publication Link

https://esju.journals.ekb.eg/

MainTitle

On Some Stochastic Integrals and Dold a Stopped Brownian Motion

Details

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Article

Created At

28 Dec 2024