Optimal forecasting of the time of attaining the maximum by Brownian motion

DOI10.1070/RM2002V057N01ABEH000487MaRDI QIDQ4469832zbMATH OpenOpenAlexFDO

Authors Mikhail Urusov

Publication date 22 June 2004

Published in Russian Mathematical Surveys (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1070/rm2002v057n01abeh000487

Mathematics Subject Classification ID

Brownian motion (60J65)

Cited in

(2)

• Examples of optimal prediction in the infinite horizon case
• Stopping Brownian motion without anticipation as close as possible to its ultimate maximum

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