Stopping Brownian Motion Without Anticipation as Close as Possible to Its Ultimate Maximum

DOI10.1137/S0040585X97978075zbMath0982.60082OpenAlexW2112575518MaRDI QIDQ2752966

Goran Peskir, Albert N. Shiryaev, Svend-Erik Graversen

Publication date: 22 October 2001

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0040585x97978075

zbMATH Keywords

diffusion optimal stopping Brownian motion Markov process martingale anticipation ultimate maximum free boundary (Stefan) problem

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Sample path properties (60G17)

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