Predicting the Time of the Ultimate Maximum for Brownian Motion with Drift

DOI10.1007/978-3-540-69532-5_6zbMath1149.60311OpenAlexW2139148971MaRDI QIDQ3528728

Goran Peskir, Jacques Du Toit

Publication date: 17 October 2008

Published in: Mathematical Control Theory and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-540-69532-5_6

zbMATH Keywords

optimal stoppingVolterra integral equationLévy processoptimal predictionlocal time-space calculusparabolic free-boundary problem

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Other nonlinear integral equations (45G10) Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Free boundary problems for PDEs (35R35)

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