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Predicting the last zero of Brownian motion with drift
8 references·4 citing·29 second hop
Predicting the last zero of Brownian motion with drift (2008)Predicting the last zero of Brownian moti…The trap of complacency in predicting the maximum (2007)The trap of complacency in pr…A Change-of-Variable Formula with Local Time on Surfaces (2007)A Change-of-Variable Formula …Optimal stopping and free-boundary problems (2006)Optimal stopping and free-bou…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 a…A Change-of-Variable Formula with Local Time on Curves (2005)A Change-of-Variable Formula …Quickest Detection Problems in the Technical Analysis of the Financial Data (2002)Quickest Detection Problems i…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…An Optimal Stopping Problem of Detecting Entry Points for Trading Modeled by Geometric Brownian Motion (2019)An Optimal Stopping Problem o…Quickest detection of a hidden target and extremal surfaces (2014)Quickest detection of a hidde…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…CONTINUOUS INSPECTION SCHEMES (1954)Procedures for Reacting to a Change in Distribution (1971)Thou shalt buy and hold (2008)Optimal Sequential Surveillance for Finance, Public Health, and Other Areas (2009)Selling a stock at the ultimate maximum (2009)Methods of Mathematical Finance (1998)Essentials of Stochastic Finance (1999)Optimal prediction of the ultimate maximum of Brownian motion (2003)Three-dimensional Brownian motion and the golden ratio rule (2013)Un Cours sur les Intégrales Stochastiques (2002)On the Constructions of the Skew Brownian Motion (2005)Stochastic Integration and Differential Equations (2005)The Analytic Valuation of American Options (1990)Optimal detection of a hidden target: The median rule (2012)A Note on the Continuity of Free-Boundaries in Finite-Horizon Optimal Stopping Problems for One-Dimensional Diffusions (2015)Options, Futures and Other Derivatives (2003)Stochastic Differential Equations (2003)“Options, Futures, and Other Derivatives” (2016)On Optimum Methods in Quickest Detection Problems (1963)Path Dependent Options: "Buy at the Low, Sell at the High" (1979)ON THE AMERICAN OPTION PROBLEM (2005)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)Predicting the Time of the Ultimate Maximum for Brownian Motion with Drift (2008)Predicting the ultimate supremum of a stable Lévy process with no negative jumps (2011)Optimality results for dividend problems in insurance (2009)Waiting for News in the Market for Lemons (2012)Sorting through Search and Matching Models in Economics (2017)
this work references cited by second hop

References

  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 2006Optimal stopping and free-boundary problems1,068 cited
  • 2007A Change-of-Variable Formula with Local Time on Surfaces228 cited
  • 2005A Change-of-Variable Formula with Local Time on Curves176 cited
  • 2002Quickest Detection Problems in the Technical Analysis of the Financial Data106 cited
  • 2001Stopping Brownian Motion Without Anticipation as Close as Possible to Its Ultimate Maximum76 cited
  • 2007The trap of complacency in predicting the maximum69 cited
  • 2005On a Property of the Moment at Which Brownian Motion Attains Its Maximum and Some Optimal Stopping Problems31 cited

Cited by

  • 2019An Optimal Stopping Problem of Detecting Entry Points for Trading Modeled by Geometric Brownian Motion22 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
  • 2014Quickest detection of a hidden target and extremal surfaces19 cited

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