On Some Stochastic Integrals and Dold a Stopped Brownian Motion
El-Nadi, K. (1979). On Some Stochastic Integrals and Dold a Stopped Brownian Motion. EKB Journal Management System, 23(1), 1-12. doi: 10.21608/esju.1979.315618
Khairia El-Said El-Nadi. "On Some Stochastic Integrals and Dold a Stopped Brownian Motion". EKB Journal Management System, 23, 1, 1979, 1-12. doi: 10.21608/esju.1979.315618
El-Nadi, K. (1979). 'On Some Stochastic Integrals and Dold a Stopped Brownian Motion', EKB Journal Management System, 23(1), pp. 1-12. doi: 10.21608/esju.1979.315618
El-Nadi, K. On Some Stochastic Integrals and Dold a Stopped Brownian Motion. EKB Journal Management System, 1979; 23(1): 1-12. doi: 10.21608/esju.1979.315618

On Some Stochastic Integrals and Dold a Stopped Brownian Motion

The Egyptian Statistical Journal
Article 1, Volume 23, Issue 1, June 1979, Page 1-12  XML
Document Type: Original Article
DOI: 10.21608/esju.1979.315618
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Author
Khairia El-Said El-Nadi
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))).
Keywords
Stochastic Integrals - Dold A Stopped Brownian Motion; Non anticipating Random Process - Exponential Bound
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