H. Hulley

activity

20132022

most citedThree-dimensional Brownian motion and the golden ratio rule

40 citations · 40 across the 3 of their papers we have counts for

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Showing 2013Show all

2 papers · 1 filter

math.PR2013

Optimal Prediction of the Last-Passage Time of a Transient Diffusion

Kristoffer Glover, Hardy Hulley

We identify the integrable stopping time $τ_{*}$ with minimal $L^{1}$ -distance to the last-passage time $γ_{z}$ to a given level $z > 0$ , for an arbitrary non-negative time-homogeneous tra…

math.PR2013★ 40 cited

Three-dimensional Brownian motion and the golden ratio rule

Kristoffer Glover, Hardy Hulley, Goran Peskir

Let $X = (X_{t})_{t \geq 0}$ be a transient diffusion process in $(0, \infty)$ with the diffusion coefficient $σ > 0$ and the scale function $L$ such that $X_{t} \to \infty$ as $t\righta…