Goran Peskir

Finance · 2000–2018

A researcher in the Science corpus: 15 papers; trusts 15 researchers and is trusted by 24 researchers here, as inferred from the citation graph.

Subfields

• Finance — 25 citations into it; #1,558 of 10,518 by trust here, #3,280 by citations
• Economics and Econometrics — 12 citations into it; #7,177 of 23,481 by trust here, #14,505 by citations
• Mathematical Physics — 10 citations into it; #2,562 of 8,562 by trust here, #4,022 by citations
• Management Science and Operations Research — 6 citations into it; #5,193 of 11,946 by trust here, #8,469 by citations
• Demography — 5 citations into it

Whom Goran Peskir trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Nathalie Eisenbaum
2. J. L. Pedersen
3. Tomas Björk
4. Andreas E. Kyprianou
5. Albert N. Shiryaev
6. S. Graversen
7. Erik J. Baurdoux
8. Pierre Devolder

Who trusts Goran Peskir overall

1. Pavel V. Gapeev
2. Nathalie Eisenbaum
3. Andreas E. Kyprianou
4. Jacques Du Toit
5. Erhan Bayraktar
6. Erik J. Baurdoux
7. Yeon-Koo Che
8. Ben M. Hambly
9. Albert N. Shiryaev
10. Erik Ekström

Papers from Goran Peskir's perspective

Ordered by how strongly the researchers Goran Peskir trusts endorse each paper. Same corpus, a different order for every researcher.

1. On optimal stopping and free boundary problems
2. Introductory Lectures on Fluctuations of Lévy Processes with Applications
3. Portfolio Selection
4. ON THE AMERICAN OPTION PROBLEM
5. A Change-of-Variable Formula with Local Time on Curves
6. Sequential testing problems for Poisson processes
7. Integration with respect to local time
8. On efficiency of mean–variance based portfolio selection in defined contribution pension schemes
9. Deterministic and Stochastic Optimal Control
10. A Note on Measurement of Utility

Their papers

• Stopping Brownian Motion Without Anticipation as Close as Possible to Its Ultimate Maximum (2001) — 103 citations
• Sequential testing problems for Poisson processes (2000) — 105 citations
• ON THE AMERICAN OPTION PROBLEM (2005) — 222 citations
• Global $C^{1}$ regularity of the value function in optimal stopping problems (2018) — 64 citations
• Optimal mean-variance portfolio selection (2016) — 69 citations
• Stochastic differential equations for sticky Brownian motion (2014) — 99 citations
• Selling a Stock at the Ultimate Maximum (2009) — 101 citations
• Optimal Stopping Games and Nash Equilibrium (2009) — 72 citations
• The law of the supremum of a stable Lévy process with no negative jumps (2007) — 75 citations
• The trap of complacency in predicting the maximum. (2007) — 73 citations
• The Wiener disorder problem with finite horizon (2006) — 66 citations
• Optimal Stopping and Free-Boundary Problems (2006) — 675 citations
• A Change-of-Variable Formula with Local Time on Curves (2005) — 280 citations
• On Integral Equations Arising in the First-Passage Problem for Brownian Motion (2002) — 92 citations
• Solving the Poisson Disorder Problem (2002) — 124 citations