By J. Toit and others

Given a standard Brownian motion *B^{\mu}=(B_t^{\mu})_{0\le t\le T}* with drift *\mu \in IR* and letting *g* denote the last zero of *B^{\mu}* before *T*, we consider the optimal prediction problem V_*=\inf_{0\le \tau \le T}\mathsf {E}\:|\:g-\tau | where the infimum is taken over all stopping times *\tau* of *B^{\mu}*. Reducing the... Show more

December 20, 2007

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Predicting the Last Zero of Brownian Motion with Drift

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