Optimal prediction of the ultimate maximum of Brownian motion

DOI10.1080/1045112031000118994MaRDI QIDQ4440446zbMATH OpenOpenAlexFDO

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

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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• Predicting the last zero of Brownian motion with drift
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