Geodesic
On the solution of the optimal prediction problem for the maximum of a time-homogeneous diffusion
Trudy Matematicheskogo Instituta imeni V.A. Steklova, Tome 69 (2014) no. 3, pp. 569-571 
A. A. Kamenov. On the solution of the optimal prediction problem for the maximum of a time-homogeneous diffusion. Trudy Matematicheskogo Instituta imeni V.A. Steklova, Tome 69 (2014) no. 3, pp. 569-571. http://geodesic.mathdoc.fr/item/RM_2014_69_3_a6/
@article{RM_2014_69_3_a6,
     author = {A. A. Kamenov},
     title = {On the solution of the optimal prediction problem for the maximum of a~time-homogeneous diffusion},
     journal = {Trudy Matematicheskogo Instituta imeni V.A. Steklova},
     pages = {569--571},
     year = {2014},
     volume = {69},
     number = {3},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/RM_2014_69_3_a6/}
}
TY  - JOUR
AU  - A. A. Kamenov
TI  - On the solution of the optimal prediction problem for the maximum of a time-homogeneous diffusion
JO  - Trudy Matematicheskogo Instituta imeni V.A. Steklova
PY  - 2014
SP  - 569
EP  - 571
VL  - 69
IS  - 3
UR  - http://geodesic.mathdoc.fr/item/RM_2014_69_3_a6/
LA  - en
ID  - RM_2014_69_3_a6
ER  - 
%0 Journal Article
%A A. A. Kamenov
%T On the solution of the optimal prediction problem for the maximum of a time-homogeneous diffusion
%J Trudy Matematicheskogo Instituta imeni V.A. Steklova
%D 2014
%P 569-571
%V 69
%N 3
%U http://geodesic.mathdoc.fr/item/RM_2014_69_3_a6/
%G en
%F RM_2014_69_3_a6

Voir la notice de l'article provenant de la source Math-Net.Ru

[1] M. Dai, H. Jin, Y. Zhong, X. Y. Zhou, Contemporary quantitative finance, Springer, Berlin, 2010, 317–333 | DOI | MR | Zbl

[2] P. Milgrom, I. Segal, Econometrica, 70:2 (2002), 583–601 | DOI | MR | Zbl

[3] G. Peskir, Ann. Probab., 26:4 (1998), 1614–1640 | DOI | MR | Zbl

[4] G. Peskir, A. Shiryaev, Optimal stopping and free-boundary problems, Birkhäuser, Basel, 2006, xxii+500 pp. | MR | Zbl