Stopping Brownian Motion Without Anticipation as Close as Possible to Its Ultimate Maximum

By S. Graversen, Goran Peskir, Albert N. Shiryaev. 2001

103 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/1bff961f54d52c1ca2d1510abb1b93518db30b24

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Jacques Du Toit
2. Goran Peskir
3. J. L. Pedersen
4. Albert N. Shiryaev
5. Zuoquan Xu¶
6. Xun Yu Zhou
7. Pavel V. Gapeev
8. Nathalie Eisenbaum

In Management Science and Operations Research

1. J. L. Pedersen
2. Jacques Du Toit
3. Goran Peskir
4. Xun Yu Zhou
5. Peter A. Forsyth
6. Elena Vigna
7. Huyen Pham
8. Ben M. Hambly

Citations in the corpus

• Optimal prediction of the ultimate maximum of Brownian motion (2003, methodology): “The expectation and variance of τ∗ are also calculated in [3] by a different method.”
• The trap of complacency in predicting the maximum. (2007, methodology): “If „ = 0 then there is a closed form expression for b1 . This problem was solved in [ 6 ] using the method of time change (i.e.”
• Thou shalt buy and hold (2008, background): “( 2001 ), which appears to be the first paper of its kind where the problem is to stop a Brownian motion so as to minimize the squared error from the maximum.”
• Selling a Stock at the Ultimate Maximum (2009, unknown): “By Jacques du Toit and Goran Peskir”