On the optimal stopping of a Brownian motion with a negative drift

DOI10.1137/S0040585X97985455MaRDI QIDQ4905020zbMATH OpenOpenAlexFDO

Authors S. S. Sinelnikov

Publication date 14 February 2013

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/s0040585x97985455

zbMATH Keywords

Brownian motion with a driftquickest detectionunpredictable moment

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Brownian motion (60J65) Optimal stopping in statistics (62L15)

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(9)

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• Optimal stopping of a Brownian bridge with an unknown pinning point
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• Predicting the last zero of Brownian motion with drift
• scientific article; zbMATH DE number 2050986 (Why is no real title available?)
• An Optimal Stopping Problem Arising from a Decision Model with Many Agents
• A Ruin Problem for a Two-Dimensional Brownian Motion with Controllable Drift in the Positive Quadrant
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