OPTIMAL STOPPING FOR THE LAST EXIT TIME

DOI10.1017/S0004972718000990MaRDI QIDQ4645777zbMATH OpenOpenAlexWikidataFDO

Authors Dan Ren

Publication date 10 January 2019

Published in Bulletin of the Australian Mathematical Society (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0004972718000990

zbMATH Keywords

downwards transient diffusionlast exit timeoptimal stoppingrandom time

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Brownian motion (60J65) Inference from stochastic processes and prediction (62M20)

Recommendations

• Time-consistent optimal stopping
• Parada optima con horizonte aleatorio
• Optimal Stopping Rules
• Optimal stopping with random exercise lag
• Optimal stopping time problem in a general framework
• On optimal stopping for time-dependent gain function
• scientific article; zbMATH DE number 3896138
• scientific article; zbMATH DE number 934464
• Optimal stopping problems with restricted stopping times
• Optimal stopping with random intervention times

Cites work

• Doob's maximal identity, multiplicative decompositions and enlargements of filtrations
• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• On a Property of the Moment at Which Brownian Motion Attains Its Maximum and Some Optimal Stopping Problems
• Optimal detection of a hidden target: the median rule
• Optimal prediction of the last-passage time of a transient diffusion
• Predicting the last zero of a spectrally negative Lévy process
• Predicting the last zero of Brownian motion with drift

Cited in

(4)

• An estimate on the distribution and moments of the last exit time of an elliptic diffusion process
• scientific article; zbMATH DE number 29662 (Why is no real title available?)
• scientific article; zbMATH DE number 2050986 (Why is no real title available?)
• Optimal prediction of the last-passage time of a transient diffusion

This page was built for publication: OPTIMAL STOPPING FOR THE LAST EXIT TIME

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4645777)