Optimal stopping problem for continuous local martingales and some sharp inequalities
Leonid I. Galtchouk, T. P. Mirochnitchenko · Stochastics and stochastics reports · 1997
The paper establishes the sharp inequality of the form where , is a continuous local martingale; τ is a stopping time; , are twice diffcrentiabie functionsHis increasing, such that for any z≷ 0 the function admits at least one concave majorant. The method of proof is via the optimal stopping problem related to