Optimal detection of a hidden target: the median rule

DOI10.1016/J.SPA.2012.02.004MaRDI QIDQ424533zbMATH OpenOpenAlexFDO

Authors Goran Peskir

Publication date 1 June 2012

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spa.2012.02.004

zbMATH Keywords

optimal stoppingLagrange multiplierhidden targetrolling median/quantile rule

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Signal detection and filtering (aspects of stochastic processes) (60G35) Variational inequalities (49J40)

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Cites work

• scientific article; zbMATH DE number 1724306 (Why is no real title available?)
• scientific article; zbMATH DE number 5016447 (Why is no real title available?)
• scientific article; zbMATH DE number 724261 (Why is no real title available?)
• Examples of optimal prediction in the infinite horizon case
• On Boscovich's estimator
• On Conditional-Extremal Problems of the Quickest Detection of Nonpredictable Times of the Observable Brownian Motion
• On a Property of the Moment at Which Brownian Motion Attains Its Maximum and Some Optimal Stopping Problems
• Optimal prediction of the ultimate maximum of Brownian motion
• Predicting the Time of the Ultimate Maximum for Brownian Motion with Drift
• Predicting the last zero of Brownian motion with drift
• Predicting the ultimate supremum of a stable Lévy process with no negative jumps
• Selling a stock at the ultimate maximum
• Stopping Brownian motion without anticipation as close as possible to its ultimate maximum
• The trap of complacency in predicting the maximum

Cited in

(20)

• Optimal stopping with expectation constraints
• OPTIMAL STOPPING FOR THE LAST EXIT TIME
• Optimal stopping problems for maxima and minima in models with asymmetric information
• A verification theorem for optimal stopping problems with expectation constraints
• Perpetual American options in diffusion-type models with running maxima and drawdowns
• Quickest detection of a hidden target and extremal surfaces
• Optimal stopping problems for running minima with positive discounting rates
• Perpetual American double lookback options on drawdowns and drawups with floating strikes
• Discounted optimal stopping zero-sum games in diffusion type models with maxima and minima
• Detecting changes in real-time data: a user's guide to optimal detection
• Discounted optimal stopping problems for maxima of geometric Brownian motions with switching payoffs
• On the drawdowns and drawups in diffusion-type models with running maxima and minima
• Stochastic control/stopping problem with expectation constraints
• Optimal double stopping problems for maxima and minima of geometric Brownian motions
• Predicting the time at which a Lévy process attains its ultimate supremum
• Optimal prediction of resistance and support levels
• Discounted optimal stopping problems in first-passage time models with random thresholds
• On the time consistent solution to optimal stopping problems with expectation constraint
• Perpetual American compound fixed-strike lookback options on maxima drawdowns
• Perpetual American Standard and Lookback Options with Event Risk and Asymmetric Information

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