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scientific article; zbMATH DE number 1983453

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Publication:4427401
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zbMath1031.60030MaRDI QIDQ4427401

Goran Peskir, Jesper Lund Pedersen

Publication date: 20 February 2004


Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

optimal stoppingBrownian motionfirst passage problemfree-boundary value problem


Mathematics Subject Classification ID

Other nonlinear integral equations (45G10) Stopping times; optimal stopping problems; gambling theory (60G40) Free boundary problems for PDEs (35R35)


Related Items (5)

The Wiener disorder problem with finite horizon ⋮ Anscombe’s model for sequential clinical trials revisited ⋮ On Chernoff's test for a fractional Brownian motion ⋮ A Bayesian sequential test for the drift of a fractional Brownian motion ⋮ A change-of-variable formula with local time on curves




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