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Optimal prediction of the ultimate maximum of Brownian motion
4 references·6 citing·30 second hop
Optimal prediction of the ultimate maximum of Brownian motion (2003)Optimal prediction of the ultimate maximu…Stopping Brownian Motion Without Anticipation as Close as Possible to Its Ultimate Maximum (2001)Stopping Brownian Motion With…Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…Viscosity solutions of optimal stopping problems (1998)Viscosity solutions of optima…Optimal Stopping Rules and Maximal Inequalities for Bessel Processes (1994)Optimal Stopping Rules and Ma…Three-dimensional Brownian motion and the golden ratio rule (2013)Three-dimensional Brownian mo…Predicting the ultimate supremum of a stable Lévy process with no negative jumps (2011)Predicting the ultimate supre…Quickest detection of a hidden target and extremal surfaces (2010)Quickest detection of a hidde…OPTIMAL STOCK SELLING/BUYING STRATEGY WITH REFERENCE TO THE ULTIMATE AVERAGE (2010)OPTIMAL STOCK SELLING/BUYING …Predicting the Time of the Ultimate Maximum for Brownian Motion with Drift (2008)Predicting the Time of the Ul…On Reflecting Brownian Motion with Drift (2006)On Reflecting Brownian Motion…CONTINUOUS INSPECTION SCHEMES (1954)Stochastic Differential Equations and Diffusion Processes (1983)Optimal portfolio liquidation in target zone models and catalytic superprocesses (2015)Stochastic Differential Equations: An Introduction with Applications. (1987)Perpetual Convertible Bonds (2004)Controlled Markov Processes and Viscosity Solutions (2005)Optimal Stopping of Linear Diffusions with Random Discounting (2008)Smooth Fit Principle for Impulse Control of Multidimensional Diffusion Processes (2009)Brownian Motion in the Stock Market (1959)Optimal stopping and free-boundary problems (2006)Quickest Detection Problems in the Technical Analysis of the Financial Data (2002)Stochastic Differential Equations (2005)Methods of Mathematical Finance (1998)Essentials of Stochastic Finance (1999)The trap of complacency in predicting the maximum (2007)Optimal Selling of an Asset under Incomplete Information (2011)Continuous Martingales and Brownian Motion (1991)Optimal stopping and maximal inequalities for geometric Brownian motion (1998)Optimal stopping of the maximum process: the maximality principle (1998)Pathwise inequalities for local time: Applications to Skorokhod embeddings and optimal stopping (2008)A Change-of-Variable Formula with Local Time on Surfaces (2007)An Optimal Stopping Problem of Detecting Entry Points for Trading Modeled by Geometric Brownian Motion (2019)On Optimum Methods in Quickest Detection Problems (1963)Path Dependent Options: "Buy at the Low, Sell at the High" (1979)BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES (1993)The Mathematics of Financial Derivatives (1995)The value of an Asian option (1995)Backward Stochastic Differential Equations in Finance (1997)The Variance Gamma Process and Option Pricing (1998)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)
this work references cited by second hop

References

  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 1994Optimal Stopping Rules and Maximal Inequalities for Bessel Processes110 cited
  • 2001Stopping Brownian Motion Without Anticipation as Close as Possible to Its Ultimate Maximum76 cited
  • 1998Viscosity solutions of optimal stopping problems57 cited

Cited by

  • 2013Three-dimensional Brownian motion and the golden ratio rule38 cited
  • 2008Predicting the Time of the Ultimate Maximum for Brownian Motion with Drift26 cited
  • 2011Predicting the ultimate supremum of a stable Lévy process with no negative jumps24 cited
  • 2006On Reflecting Brownian Motion with Drift22 cited
  • 2010OPTIMAL STOCK SELLING/BUYING STRATEGY WITH REFERENCE TO THE ULTIMATE AVERAGE21 cited
  • 2010Quickest detection of a hidden target and extremal surfaces21 cited

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