Optimal stopping and free-boundary problems G Peskir, A Shiryaev
Optimal Stopping and Free-Boundary Problems, 123-142, 2006
1623 2006 A change-of-variable formula with local time on curves G Peskir
Journal of Theoretical Probability 18, 499-535, 2005
243 2005 On the American option problem G Peskir
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2005
199 2005 A change-of-variable formula with local time on surfaces G Peskir
Séminaire de probabilités XL, 70-96, 2007
135 2007 Solving the Poisson disorder problem G Peskir, AN Shiryaev
Advances in finance and stochastics: essays in honour of Dieter Sondermann …, 2002
121 2002 Optimal stopping of the maximum process: The maximality principle G Peskir
Annals of Probability, 1614-1640, 1998
117 1998 Stopping Brownian motion without anticipation as close as possible to its ultimate maximum SE Graversen, G Peskir, AN Shiryaev
Theory of Probability & Its Applications 45 (1), 41-50, 2001
115 2001 Selling a stock at the ultimate maximum J Du Toit, G Peskir
109 2009 Optimal mean-variance portfolio selection JL Pedersen, G Peskir
Mathematics and Financial Economics 11, 137-160, 2017
108 * 2017 Sequential testing problems for Poisson processes G Peskir, AN Shiryaev
Annals of Statistics, 837-859, 2000
106 2000 On integral equations arising in the first-passage problem for Brownian motion G Peskir
The Journal of Integral Equations and Applications, 397-423, 2002
99 2002 Stochastic differential equations for sticky Brownian motion HJ Engelbert, G Peskir
Stochastics An International Journal of Probability and Stochastic Processes …, 2014
98 2014 Optimal stopping games for Markov processes E Ekström, G Peskir
SIAM Journal on Control and Optimization 47 (2), 684-702, 2008
93 2008 The law of the supremum of a stable Lévy process with no negative jumps V Bernyk, RC Dalang, G Peskir
81 2008 The trap of complacency in predicting the maximum J du Toit, G Peskir
76 2007 The Russian option: finite horizon G Peskir
Finance and Stochastics 9, 251-267, 2005
75 2005 The Wiener disorder problem with finite horizon PV Gapeev, G Peskir
Stochastic processes and their applications 116 (12), 1770-1791, 2006
70 2006 Maximal inequalities for the Ornstein-Uhlenbeck process S Graversen, G Peskir
Proceedings of the American Mathematical Society 128 (10), 3035-3041, 2000
69 2000 Global T De Angelis, G Peskir
59 2020 On the diffusion coefficient: The Einstein relation and beyond G Peskir
Taylor & Francis Group 19 (3), 383-405, 2003
56 2003 