OPTIMAL STOPPING FOR THE LAST EXIT TIME

DOI10.1017/S0004972718000990zbMath1440.60037OpenAlexW2895157924WikidataQ129165068 ScholiaQ129165068MaRDI QIDQ4645777

Dan Ren

Publication date: 10 January 2019

Published in: Bulletin of the Australian Mathematical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0004972718000990

zbMATH Keywords

optimal stoppingrandom timelast exit timedownwards transient diffusion

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40)

Cites Work

• Unnamed Item
• Optimal detection of a hidden target: the median rule
• Predicting the last zero of a spectrally negative Lévy process
• Doob's maximal identity, multiplicative decompositions and enlargements of filtrations
• Predicting the last zero of Brownian motion with drift
• Optimal Prediction of the Last-Passage Time of a Transient Diffusion
• On a Property of the Moment at Which Brownian Motion Attains Its Maximum and Some Optimal Stopping Problems

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