Quickest Real-Time Detection of Multiple Brownian Drifts-Reference-Cited by-同舟云学术

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Quickest Real-Time Detection of Multiple Brownian Drifts

Published:2024-06-25 Issue:3 Volume:62 Page:1832-1856
ISSN:0363-0129
Container-title:SIAM Journal on Control and Optimization
language:en
Short-container-title:SIAM J. Control Optim.

Author:

Ernst P. A.¹,Mei H.²,Peskir G.³

Affiliation:

1. Department of Mathematics, Imperial College London, South Kensington Campus, London SW7 2AZ, United Kingdom.

2. Department of Mathematics and Statistics, Texas Tech University, Lubbock, TX 79409 USA.

3. Department of Mathematics, The University of Manchester, Oxford Road, Manchester M13 9PL, United Kingdom.

Funder

Army Research Office

Simons Foundation Travel Support for Mathematicians

Publisher

Society for Industrial & Applied Mathematics (SIAM)

Reference18 articles.

1. Global $C^{1}$ regularity of the value function in optimal stopping problems

2. Selling a stock at the ultimate maximum

3. Quickest real-time detection of a Brownian coordinate drift

4. Elliptic Partial Differential Equations of Second Order

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