2006.30: The Trap of Complacency in Predicting the Maximum
2006.30: Jacques du Toit and Goran Peskir (2006) The Trap of Complacency in Predicting the Maximum.
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| Item Type: | MIMS Preprint |
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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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