{"paper":{"title":"A general \"bang-bang\" principle for predicting the maximum of a random walk","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["q-fin.PM","q-fin.ST"],"primary_cat":"math.PR","authors_text":"Pieter C. Allaart","submitted_at":"2009-10-03T14:12:20Z","abstract_excerpt":"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 general optimal prediction problem \\sup_{0\\leq\\tau\\leq T}\\sE[f(M_T-B_\\tau)], where the supremum is over all stopping times $\\tau$ adapted to the natural filtration of $(B_t)$, and $f$ is a nonincreasing convex function. The optimal stopping time $\\tau^*$ is shown to be of \"bang-bang\" type: $\\tau^*\\equiv 0$ if the drift of the underlying process $(B_t)$ is negative, and $\\tau^*\\equiv T$ is the drift is positive. This res"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"0910.0545","kind":"arxiv","version":1},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}