Optimal prediction of the ultimate maximum of Brownian motion
Author:
Affiliation:
1. a Department of Applied Mathematics and Statistics , University of Copenhagen, Universitetsparken 5 , DK-2100, Copenhagen, Denmark
Publisher
Informa UK Limited
Link
https://www.tandfonline.com/doi/pdf/10.1080/1045112031000118994
Reference8 articles.
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3. Graversen S.E. Peskir G. Shiryaev A.N. 2001 Stopping Brownian motion without anticipation as close as possible to its ultimate maximum Theory Probab. Appl. 45 41 50
4. Jacka S.D. 1991 Optimal stopping and best constants for Doob-like inequalities I: the case p = 1 Ann. Probab. 19 1798 1821
5. Øksendal B. Reikvam K. 1998 Viscosity solutions of optimal stopping problems Stochastics Stochastics Rep. 62 285 301
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