Optimal prediction of the ultimate maximum of Brownian motion

By J. L. Pedersen. 2003

46 citations recorded by the source corpus.

Subfields: Finance, Mathematical Physics

View Paper: https://www.semanticscholar.org/paper/ed32b32fe05de1f9a2bb1013c16b6d987f7e5487

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. Jan Obłój
3. Goran Peskir
4. Nathalie Eisenbaum
5. Pavel V. Gapeev

In Mathematical Physics

1. Jacques Du Toit
2. Jan Obłój
3. Goran Peskir
4. David Hobson *
5. Mathias Beiglbock
6. Nizar Touzi
7. Pavel V. Gapeev
8. H. M. Soner

Citations in the corpus

• The trap of complacency in predicting the maximum. (2007, methodology): “This problem was solved in [6] using the method of time change (see also [14]).”
• The Skorokhod embedding problem and its offspring (2004, background): “• Pedersen [87] - the author solves the optimal stopping problem of stopping the Brownian path as close as possible to its unknown ultimate maximum over a finite time interval.”