The Trap of Complacency in Predicting the Maximum

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

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Item Type: Article
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 2010, the AMS's Mathematics Subject Classification > 35 Partial differential equations
MSC 2010, the AMS's Mathematics Subject Classification > 45 Integral equations
MSC 2010, the AMS's Mathematics Subject Classification > 60 Probability theory and stochastic processes
MSC 2010, the AMS's Mathematics Subject Classification > 62 Statistics
Depositing User: Dr Peter Neal
Date Deposited: 12 Mar 2006
Last Modified: 20 Oct 2017 14:12
URI: http://eprints.maths.manchester.ac.uk/id/eprint/181

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