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On a Property of the Moment at Which Brownian Motion Attains Its Maximum and Some Optimal Stopping Problems
1 references·6 citing·17 second hop
On a Property of the Moment at Which Brownian Motion Attains Its Maximum and Some Optimal Stopping Problems (2005)On a Property of the Moment at Which Brow…Stopping Brownian Motion Without Anticipation as Close as Possible to Its Ultimate Maximum (2001)Stopping Brownian Motion With…Predicting the Time at Which a Lévy Process Attains Its Ultimate Supremum (2014)Predicting the Time at Which …Predicting the Ultimate Supremum of a Stable Lévy Process with No Negative Jumps (2011)Predicting the Ultimate Supre…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…Predicting the Time of the Ultimate Maximum for Brownian Motion with Drift (2008)Predicting the Time of the Ul…Predicting the last zero of Brownian motion with drift (2008)Predicting the last zero of B…Stochastic Integration with Jumps (2002)Some remarks on first passage of Lévy processes, the American put and pasting principles (2005)Optimal stopping and free-boundary problems (2006)Continuous Martingales and Brownian Motion (1999)Quickest Detection Problems in the Technical Analysis of the Financial Data (2002)Stochastic Differential Equations (2005)Quickest detection of a hidden target and extremal surfaces (2014)Methods of Mathematical Finance (1998)Essentials of Stochastic Finance (1999)Optimal prediction of the ultimate maximum of Brownian motion (2003)The trap of complacency in predicting the maximum (2007)Three-dimensional Brownian motion and the golden ratio rule (2013)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)Stochastic Integration and Differential Equations (2005)
this work references cited by second hop

References

  • 2001Stopping Brownian Motion Without Anticipation as Close as Possible to Its Ultimate Maximum76 cited

Cited by

  • 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
  • 2008Predicting the last zero of Brownian motion with drift23 cited
  • 2010Quickest detection of a hidden target and extremal surfaces21 cited
  • 2011Predicting the Ultimate Supremum of a Stable Lévy Process with No Negative Jumps20 cited
  • 2014Predicting the Time at Which a Lévy Process Attains Its Ultimate Supremum18 cited

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