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Original Articles

Optimal prediction of the ultimate maximum of Brownian motion

Pages 205-219 | Accepted 21 Mar 2003, Published online: 17 Oct 2011

References

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  • Jacka S.D. 1991 Optimal stopping and best constants for Doob-like inequalities I: the case p = 1 Ann. Probab. 19 1798 1821
  • Øksendal B. Reikvam K. 1998 Viscosity solutions of optimal stopping problems Stochastics Stochastics Rep. 62 285 301
  • Pedersen J.L. Peskir G. 2000 Solving non-linear optimal stopping problems by the method of time-change Stochastic Anal. Appl. 18 811 835
  • Revuz D. Yor M. 1999 Continuous Martingales and Brownian Motion 3rd Ed., Springer New York
  • Shiryaev A.N. 1978 Optimal Stopping Rules Springer New York

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