MaPhySto
Centre for Mathematical Physics and Stochastics
Department of Mathematical Sciences, University of Aarhus

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Funded by The Danish National Research Foundation

Goran Peskir

You can contact Goran Peskir by email on goran@imf.au.dk, or visit his personal homepage.

Phone: (+45) 8942 3434 .

Address: Department of Mathematical Sciences, Ny Munkegade Building 530, DK-8000 Aarhus C, Denmark.

Interests: stochastics.

Publications: While affiliated to the Centre, Goran Peskir has (co)-authored the following Centre publications (most recent first):

• Maximum Process Problems in Optimal Control Theory (December 2001)
• On Integral Equations Arising in the First-Passage Problem for Brownian Motion (October 2001)
• Limit at Zero of the Brownian First-Passage Density (August 2001) [To appear in Probab. Theory Related Fields]
• Solving the Poisson disorder problem (December 2000) [To appear in Advances in Finance and Stochastics: Essays in Honour of Dieter Sondermann, Springer-Verlag.]
• On the Diffusion Coefficient: The Einstein Relation and Beyond (June 2000)
• Bounding the Maximal Height of a Diffusion by the Time Elapsed (December 1999) [J. Theoret. Probab. 14, 2001, (845-855)]
• Stopping Brownian Motion without Anticipation as Close as Possible to its Ultimate Maximum (July 1999) [Theory Probab. Appl. 45, 2000, (125-136)]
• Market Forces and Dynamic Asset Pricing (June 1999) [To appear in Stochastic Anal. Appl.]
• Solution of the Bayesian Sequential Testing Problem for a Poisson Process (November 1998) [Expanded version appears under the title "Sequential testing problems for Poisson processes" in Ann. Statist. 28, 2000, (837-859)]
• Maximal Inequalities for the Ornstein-Uhlenbeck Process (May 1998) [Proc. Amer. Math. Soc. 128, 2000, (3035-3041)]
• Controlling the Velocity of Brownian Motion by its terminal Value (April 1998) [Anal. Geom. Inequal. Appl. (invited paper), Math. Appl. 478, 1999, (323-333)]

If you (or your Institution) subscribes to MathSciNet you may look up publications printed in 1997 or later that has been reviewed in Math. Reviews, and that was authored by Peskir, G.

You may also wish to see the BibTeX file for Goran Peskir (covering appeared papers for the period 1997-2000).