Goran Peskir

activity

20072024

most citedEmbedding laws in diffusions by functions of time

25 citations · 25 across the 2 of their papers we have counts for

collaborators

3 papers

math.PR2024

The Gapeev-Shiryaev Conjecture

Philip A. Ernst, Goran Peskir

The Gapeev-Shiryaev conjecture (originating in Gapeev and Shiryaev (2011) and Gapeev and Shiryaev (2013)) can be broadly stated as follows: Monotonicity of the signal-to-noise rati…

math.PR2012★ 25 cited

Embedding laws in diffusions by functions of time

A. M. G. Cox, G. Peskir

We present a constructive probabilistic proof of the fact that if $B = (B_{t})_{t \geq 0}$ is standard Brownian motion started at $0$ , and $μ$ is a given probability measure on $\mathbb{R…

math.PR2007

Predicting the Last Zero of Brownian Motion with Drift

J. du Toit, G. Peskir, A. N. Shiryaev

Given a standard Brownian motion $B^{μ} = (B_{t}^{μ})_{0 \leq t \leq T}$ with drift $μ \in I R$ and letting $g$ denote the last zero of $B^{μ}$ before $T$ , we consider the optimal prediction probl…