On the solution of the optimal prediction problem for the maximum of a time-homogeneous diffusion

DOI10.1070/RM2014V069N03ABEH004902zbMath1307.60043OpenAlexW2060070646MaRDI QIDQ2925753

A. A. Kamenov

Publication date: 17 October 2014

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

Full work available at URL: https://doi.org/10.1070/rm2014v069n03abeh004902

zbMATH Keywords

integro-differential equationoptimal stopping timerunning maximumtime-homogeneous diffusion

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Integro-ordinary differential equations (45J05) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Ordinary differential equations and systems with randomness (34F05) Optimal stopping in statistics (62L15) Probabilistic games; gambling (91A60)

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