Optimal prediction of the ultimate maximum of Brownian motion (Q4440446)
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scientific article; zbMATH DE number 2019651
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal prediction of the ultimate maximum of Brownian motion |
scientific article; zbMATH DE number 2019651 |
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Optimal prediction of the ultimate maximum of Brownian motion (English)
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18 December 2003
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Brownian motion
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ultimate maximum
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optimal stopping
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Lévy's distributional theorem
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smooth fit (at a single point)
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viscosity solution
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