The trap of complacency in predicting the maximum

DOI10.1214/009117906000000638zbMath1120.60044arXivmath/0703805OpenAlexW2117612480MaRDI QIDQ879259

Jacques Du Toit, Goran Peskir

Publication date: 8 May 2007

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0703805

zbMATH Keywords

optimal stoppingBrownian motionnonlinear Volterra integral equationoptimal predictionlocal time-space calculus

Mathematics Subject Classification ID

Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Free boundary problems for PDEs (35R35) Systems of nonlinear integral equations (45G15)

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