Optimal prediction of the ultimate maximum of Brownian motion (Q4440446)
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scientific article; zbMATH DE number 2019651
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| English | Optimal prediction of the ultimate maximum of Brownian motion |
scientific article; zbMATH DE number 2019651 |
Statements
Optimal prediction of the ultimate maximum of Brownian motion (English)
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18 December 2003
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Brownian motion
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ultimate maximum
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optimal stopping
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Lévy's distributional theorem
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smooth fit (at a single point)
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viscosity solution
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0.8491319417953491
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0.8444599509239197
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0.8308780789375305
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0.8236792087554932
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