ON THE OPTIMAL STOPPING OF A BROWNIAN MOTION WITH A NEGATIVE DRIFT

被引：0

作者：

Sinelnikov, S. S. ^{[1
]}

机构：

[1] Moscow MV Lomonosov State Univ, Dept Theory Probabil, Fac Mech & Math, Moscow 119991, Russia

来源：

THEORY OF PROBABILITY AND ITS APPLICATIONS | 2012年 / 56卷 / 02期

关键词：

unpredictable moment; quickest detection; Brownian motion with a drift;

D O I：

10.1137/S0040585X97985455

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We consider optimal stopping problems for a Brownian motion with a negative drift on the interval [0,8) related to the "best" estimation of two unpredictable moments: the moment when the process attains its maximum value, and the moment when the process attains its last zero.

引用

页码：343 / U1740

页数：8

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