A General ‘Bang-Bang’ Principle for Predicting the Maximum of a Random Walk
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Publication:3067847
DOI10.1239/jap/1294170520zbMath1225.60068arXiv0910.0545MaRDI QIDQ3067847
Publication date: 13 January 2011
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0910.0545
Brownian motion; convex function; stopping time; optimal prediction; ultimate maximum; Bernoulli random walk
60G50: Sums of independent random variables; random walks
60J65: Brownian motion
60G40: Stopping times; optimal stopping problems; gambling theory
60G25: Prediction theory (aspects of stochastic processes)
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Cites Work
- The secretary problem for a random walk
- Selling a stock at the ultimate maximum
- Stopping Brownian Motion Without Anticipation as Close as Possible to Its Ultimate Maximum
- Two Rationales Behind the ‘Buy-And-Hold or Sell-At-Once’ Strategy
- Thou shalt buy and hold
- Optimal prediction of the ultimate maximum of Brownian motion
