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
收藏
页码：343 / U1740
页数：8
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