Optimal detection of a hidden target: the median rule

DOI10.1016/j.spa.2012.02.004zbMath1253.60055MaRDI QIDQ424533

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

Lagrange multiplier; optimal stopping; hidden target; rolling median/quantile rule

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

49J40: Variational inequalities

60G35: Signal detection and filtering (aspects of stochastic processes)

Related Items

Detecting changes in real-time data: a user’s guide to optimal detection, Optimal prediction of resistance and support levels, 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, Perpetual American Standard and Lookback Options with Event Risk and Asymmetric Information, Discounted optimal stopping problems in first-passage time models with random thresholds, Perpetual American options in diffusion-type models with running maxima and drawdowns, Quickest detection of a hidden target and extremal surfaces, On the drawdowns and drawups in diffusion-type models with running maxima and minima, A verification theorem for optimal stopping problems with expectation constraints, Perpetual American double lookback options on drawdowns and drawups with floating strikes, Optimal double stopping problems for maxima and minima of geometric Brownian motions, Optimal stopping problems for running minima with positive discounting rates, Predicting the time at which a Lévy process attains its ultimate supremum

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Predicting the ultimate supremum of a stable Lévy process with no negative jumps
• The trap of complacency in predicting the maximum
• Examples of optimal prediction in the infinite horizon case
• On Boscovich's estimator
• Selling a stock at the ultimate maximum
• Stopping Brownian Motion Without Anticipation as Close as Possible to Its Ultimate Maximum
• Predicting the last zero of Brownian motion with drift
• 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
• Optimal prediction of the ultimate maximum of Brownian motion
• On a Property of the Moment at Which Brownian Motion Attains Its Maximum and Some Optimal Stopping Problems