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Overview

Goran Peskir is affiliated with the University of Manchester in the United Kingdom. The research focus spans a range of topics predominantly in economics, econometrics, finance, and decision sciences. Their work often addresses stochastic processes and their applications in finance as well as advanced statistical process monitoring and economic modeling.

Research contributions by Goran Peskir include publications covering diverse areas such as finance, statistics, probability, uncertainty, mathematical physics, management science, operations research, and electrical and electronic engineering. The main topics of their work feature stochastic processes with financial applications, risk and portfolio optimization, healthcare operations and scheduling optimization, and distributed sensor networks and detection algorithms.

Recent papers by Goran Peskir include:

  • Risk-Constrained Minimization of Combined Event Detection and Decision Time for Online Transient Stability Assessment, 2021, IEEE Transactions on Smart Grid
  • Optimal real-time detection of a drifting Brownian coordinate, 2020, The Annals of Applied Probability
  • Global C¹ regularity of the value function in optimal stopping problems, 2020, The Annals of Applied Probability
  • Quickest real-time detection of a Brownian coordinate drift, 2022, The Annals of Applied Probability
  • Sticky Bessel diffusions, 2021, Stochastic Processes and their Applications

Frequent co-authors working with Goran Peskir include:

  • Philip Ernst
  • Hongwei Mei
  • Quan Zhou
  • Jhonny Gonzalez
  • Panagiotis N. Papadopoulos

The scientist has published extensively in several venues, especially:

  • The Annals of Applied Probability
  • arXiv (Cornell University)
  • Stochastic Processes and their Applications
  • IEEE Transactions on Smart Grid
  • Axioms

Best Publications

  • Optimal Stopping and Free-Boundary Problems

    G. Peskir;Alʹbert Nikolaevich Shiri︠a︡ev

  • A Change-of-Variable Formula with Local Time on Curves

    Goran Peskir

  • On the American option problem

    Goran Peskir

  • Solving the Poisson Disorder Problem

    Goran Peskir;Albert N. Shiryaev

  • Optimal stopping of the maximum process : The maximality principle

    Goran Peskir

  • Stopping Brownian Motion Without Anticipation as Close as Possible to Its Ultimate Maximum

    S. E. Graversen;G. Peskir;A. N. Shiryaev

  • Selling a stock at the ultimate maximum

    Jacques du Toit;Goran Peskir

  • Sequential testing problems for Poisson processes

    Goran Peskir;A. N. Shiryaev

  • The Russian option: Finite horizon

    Goran Peskir

  • On Integral Equations Arising in the First-Passage Problem for Brownian Motion

    Goran Peskir

  • Stochastic differential equations for sticky Brownian motion

    Hans-Jürgen Engelbert;Goran Peskir

  • Optimal Stopping Games for Markov Processes

    Erik Ekström;Goran Peskir

  • The law of the supremum of a stable Lévy process with no negative jumps

    Violetta Bernyk;Robert C. Dalang;Goran Peskir

  • The trap of complacency in predicting the maximum.

    J. Du Toit;Goran Peskir

  • The Wiener disorder problem with finite horizon

    Pavel V. Gapeev;G. Peskir

  • Maximal inequalities for the Ornstein-Uhlenbeck process

    S. E. Graversen;G. Peskir

  • Optimal mean-variance portfolio selection

    Jesper Lund Pedersen;Goran Peskir

  • Designing options given the risk: the optimal Skorokhod-embedding problem

    Goran Peskir;Goran Peskir

  • Optimal Stopping Games and Nash Equilibrium

    G. Peskir

  • The Law of the Hitting Times to Points by a Stable Lévy Process with No Negative Jumps

    Goran Peskir

Frequent Co-Authors

Albert N. Shiryaev
Albert N. Shiryaev Steklov Mathematical Institute
Peter Johnson
Peter Johnson University of Southampton
Andreas E. Kyprianou
Andreas E. Kyprianou University of Warwick
Jovica V. Milanovic
Jovica V. Milanovic University of Manchester
N. H. Bingham
N. H. Bingham Imperial College London

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