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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
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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