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A General ‘Bang-Bang’ Principle for Predicting the Maximum of a Random Walk - MaRDI portal

A General ‘Bang-Bang’ Principle for Predicting the Maximum of a Random Walk (Q3067847)

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A General ‘Bang-Bang’ Principle for Predicting the Maximum of a Random Walk
scientific article

    Statements

    title
    A General ‘Bang-Bang’ Principle for Predicting the Maximum of a Random Walk (English)
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    author
    Pieter C. Allaart
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    publication date
    13 January 2011
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    zbMATH Keywords
    Bernoulli random walk
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    Brownian motion
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    optimal prediction
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    ultimate maximum
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    stopping time
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    convex function
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    Identifiers

    Mathematics Subject Classification ID
    60G40
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    60G50
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    60J65
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    60G25
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    zbMATH DE Number
    5835869
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    OpenAlex ID
    W2963619847
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    arXiv ID
    0910.0545
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