Optimal detection of a hidden target: The median rule
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References listed on IDEAS
- Cohen, Albert, 2010. "Examples of optimal prediction in the infinite horizon case," Statistics & Probability Letters, Elsevier, vol. 80(11-12), pages 950-957, June.
- Jacques du Toit & Goran Peskir, 2009. "Selling a stock at the ultimate maximum," Papers 0908.1014, arXiv.org.
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- Gapeev, Pavel V. & Rodosthenous, Neofytos, 2016. "Perpetual American options in diffusion-type models with running maxima and drawdowns," Stochastic Processes and their Applications, Elsevier, vol. 126(7), pages 2038-2061.
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KeywordsOptimal stopping; Hidden target; Rolling median/quantile rule; Lagrange multiplier;
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