Optimal detection of a hidden target: the median rule

DOI10.1016/j.spa.2012.02.004zbMath1253.60055OpenAlexW2049521358MaRDI QIDQ424533

Goran Peskir

Publication date: 1 June 2012

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2012.02.004

zbMATH Keywords

Lagrange multiplieroptimal stoppinghidden targetrolling median/quantile rule

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Variational inequalities (49J40) Signal detection and filtering (aspects of stochastic processes) (60G35)

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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
• On Conditional-Extremal Problems of the Quickest Detection of Nonpredictable Times of the Observable Brownian Motion
• Optimal prediction of the ultimate maximum of Brownian motion
• On a Property of the Moment at Which Brownian Motion Attains Its Maximum and Some Optimal Stopping Problems

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