Optimal detection of a hidden target: the median rule
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Publication:424533
DOI10.1016/J.SPA.2012.02.004zbMATH Open1253.60055OpenAlexW2049521358MaRDI QIDQ424533FDOQ424533
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
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Cites Work
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- Predicting the Time of the Ultimate Maximum for Brownian Motion with Drift
- 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
- Examples of optimal prediction in the infinite horizon case
Cited In (18)
- OPTIMAL STOPPING FOR THE LAST EXIT TIME
- Discounted Optimal Stopping Problems for Maxima of Geometric Brownian Motions With Switching Payoffs
- 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
- Stochastic control/stopping problem with expectation constraints
- On the drawdowns and drawups in diffusion-type models with running maxima and minima
- Optimal double stopping problems for maxima and minima of geometric Brownian motions
- Optimal prediction of resistance and support levels
- Predicting the time at which a Lévy process attains its ultimate supremum
- Discounted optimal stopping problems in first-passage time models with random thresholds
- On the time consistent solution to optimal stopping problems with expectation constraint
- Detecting changes in real-time data: a user’s guide to optimal detection
- Perpetual American Standard and Lookback Options with Event Risk and Asymmetric Information
- Optimal stopping with expectation constraints
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