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A sharp upper bound for the expected interval occupation time of Brownian martingales

Abstract : We consider Brownian integral processes with integrands that are bounded and bounded away from zero. We provide an upper estimate for the expected occupation time in an interval. The estimate does not depend on the integrand but only on its bounds. We derive the estimate by solving a stochastic control problem that consists in maximizing the expected occupation time in an interval.
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Preprints, Working Papers, ...
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https://hal.archives-ouvertes.fr/hal-03138433
Contributor : Stefan Ankirchner Connect in order to contact the contributor
Submitted on : Thursday, February 11, 2021 - 10:37:50 AM
Last modification on : Saturday, February 13, 2021 - 3:01:40 AM
Long-term archiving on: : Wednesday, May 12, 2021 - 6:30:11 PM

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  • HAL Id : hal-03138433, version 1

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Stefan Ankirchner, Julian Wendt. A sharp upper bound for the expected interval occupation time of Brownian martingales. 2021. ⟨hal-03138433⟩

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