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 |
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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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