On a Property of the Moment at Which Brownian Motion Attains Its Maximum and Some Optimal Stopping Problems

DOI10.1137/S0040585X97980956MaRDI QIDQ5700626zbMATH OpenOpenAlexFDO

Authors Mikhail Urusov

Publication date 28 October 2005

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

Full work available at URL https://doi.org/10.1137/s0040585x97980956

zbMATH Keywords

Brownian motionmoment of attaining the maximumoptimal stopping

Mathematics Subject Classification ID

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

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Cited in

(24)

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• Predicting the last zero of Brownian motion with drift
• Predicting the Time of the Ultimate Maximum for Brownian Motion with Drift
• Martingale methods in problems on boundary intersections of Brownian motions
• Optimal detection of a hidden target: the median rule
• On wald-type optimal stopping for Brownian motion
• Optimal prediction of the ultimate maximum of Brownian motion
• OPTIMAL STOPPING FOR THE LAST EXIT TIME
• Quickest detection of a hidden target and extremal surfaces
• On the optimal stopping of a Brownian motion with a negative drift
• Optimal stopping for the exponential of a Brownian bridge
• Predicting the last zero before an exponential time of a spectrally negative Lévy process
• Optimal stopping with expectation constraints
• \(L^p\) optimal prediction of the last zero of a spectrally negative Lévy process
• Predicting the ultimate supremum of a stable Lévy process with no negative jumps
• Stochastic control/stopping problem with expectation constraints
• Degeneracy condition for the optimal moment in the optimal stopping problem for a new functional of a symmetric random walk and its maximum
• Flexible supply contracts under price uncertainty

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