97 citations · 315 across the 11 of their papers we have counts for
11 papers
Quickest Real-Time Detection of Multiple Brownian Drifts
Philip A. Ernst, Hongwei Mei, Goran Peskir
Consider the motion of a Brownian particle in dimensions, whose coordinate processes are standard Brownian motions with zero drift initially, and then at some random/unobservab…
Quickest Real-Time Detection of a Brownian Coordinate Drift
Philip A. Ernst, Goran Peskir
Consider the motion of a Brownian particle in two or more dimensions, whose coordinate processes are standard Brownian motions with zero drift initially, and then at some random/un…
Optimal real-time detection of a drifting Brownian coordinate
Philip Ernst, Goran Peskir, Quan Zhou
Consider the motion of a Brownian particle in three dimensions, whose two spatial coordinates are standard Brownian motions with zero drift, and the remaining (unknown) spatial coo…
Global Regularity of the Value Function in Optimal Stopping Problems
Tiziano De Angelis, Goran Peskir
We show that if either the process is strong Feller and the boundary point is probabilistically regular for the stopping set, or the process is strong Markov and the boundary point…
Quickest detection of a hidden target and extremal surfaces
Goran Peskir
Let be a regular diffusion process started at , let be an independent random variable with a strictly increasing and continuous distribution function $F…
A probabilistic solution to the Stroock-Williams equation
Goran Peskir
We consider the initial boundary value problem \begin{eqnarray*}u_t=μu_x+\tfrac{1}{2}u_{xx}\qquad (t>0,x\ge0),\\u(0,x)=f(x)\qquad (x\ge0),\\u_t(t,0)=νu_x(t,0)\qquad (t>0)\end{eqnar…