P. Allaart

activity

20062023

most citedOn the continuity of the Hausdorff dimension of the univoque set

17 citations · 59 across the 22 of their papers we have counts for

collaborators

Showing 2009 · math.PRShow all

2 papers · 2 filters

math.PR2009

Predicting the supremum: optimality of "stop at once or not at all"

Pieter C. Allaart

Let X_t, 0<=t<=T be a one-dimensional stochastic process with independent and stationary increments. This paper considers the problem of stopping the process X_t "as close as possi…

math.PR2009

A general "bang-bang" principle for predicting the maximum of a random walk

Pieter C. Allaart

Let $(B_{t})_{0 \leq t \leq T}$ be either a Bernoulli random walk or a Brownian motion with drift, and let $M_{t} := max {B_{s} : 0 \leq s \leq t}$ , $0 \leq t \leq T$ . This paper solves the gen…