## 2006.30: The Trap of Complacency in Predicting the Maximum

2006.30:
Jacques du Toit and Goran Peskir
(2007)
*The Trap of Complacency in Predicting the Maximum.*
Ann. Probability, 35.
pp. 340-365.

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DOI: 10.1214/009117906000000638

Item Type: | Article |
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Uncontrolled Keywords: | Brownian motion, optimal prediction, optimal stopping, ultimate maximum, parabolic free-boundary problem, smooth fit, normal reflection, local time-space calculus, curved boundary, nonlinear Volterra integral equation, Markov process, diffusion. |

Subjects: | MSC 2000 > 35 Partial differential equations MSC 2000 > 45 Integral equations MSC 2000 > 60 Probability theory and stochastic processes MSC 2000 > 62 Statistics |

MIMS number: | 2006.30 |

Deposited By: | Dr Peter Neal |

Deposited On: | 12 March 2006 |

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