Optimal prediction of the ultimate maximum of Brownian motion

DOI10.1080/1045112031000118994zbMATH Open1032.60038OpenAlexW2051389913MaRDI QIDQ4440446FDOQ4440446

Authors: Jesper Lund Pedersen 

Publication date: 18 December 2003

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/1045112031000118994

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zbMATH Keywords

Brownian motionoptimal stoppingviscosity solutionultimate maximumLévy's distributional theoremsmooth fit (at a single point)

Mathematics Subject Classification ID

Diffusion processes (60J60) Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40)

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