Research output per year
Research output per year
Personal profile
Opportunities
Postgraduate Opportunities
http://www.mims.manchester.ac.uk/research/probability-statistics/stochastic-calculus.htmlQualifications
Qualifications
DrScient, PhD, MSc, BSc
My group
Research Group(s)
My group
Research Groups
Biography
Goran Peskir holds a Chair in Probability at the School of Mathematics.
Goran Peskir's homepage: https://personalpages.manchester.ac.uk/staff/goran.peskir.
Research interests
Professor Peskir's research interests include Brownian motion, stochastic calculus, Markov processes, optimal stopping, optimal stochastic control, free boundary problems, financial mathematics and economics.
Publications
Research Beacons, Institutes and Platforms
- Digital Futures
Fingerprint
Dive into the research topics where Goran Peskir is active. These topic labels come from the works of this person. Together they form a unique fingerprint.
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Risk-constrained minimisation of combined event detection and decision time for online transient stability assessment
Gonzalez, J., Papadopoulos, P., Milanovic, J. V., Peskir, G. & Moriarty, J., 3 Jun 2021, In: IEEE Transactions on Smart Grid. 12, 5, p. 4564-4572 9 p.Research output: Contribution to journal › Article › peer-review
Open AccessFile7 Downloads (Pure) -
Global c 1regularity of the value function in optimal stopping problems
De Angelis, T. & Peskir, G., 29 Jul 2020, In: Annals of Applied Probability. 30, 3, p. 1007-1031 25 p.Research output: Contribution to journal › Article › peer-review
Open AccessFile61 Downloads (Pure) -
Optimal Real-Time Detection of a Drifting Brownian Coordinate
Ernst, P. & Peskir, G., 1 Jun 2020, In: Annals of Applied Probability. 30, 3, p. 1032-1065 34 p.Research output: Contribution to journal › Article › peer-review
Open AccessFile27 Downloads (Pure) -
Constrained Dynamic Optimality and Binomial Terminal Wealth
Pedersen, J. L. & Peskir, G., 2018, In: SIAM Journal on Control and Optimization. 56, 2, p. 1342-1357 16 p.Research output: Contribution to journal › Article › peer-review
Open AccessFile205 Downloads (Pure) -
Continuity of the Optimal Stopping Boundary for Two-Dimensional Diffusions
Peskir, G., 2018, In: Annals of Applied Probability. 29, 1, p. 505-530 26 p.Research output: Contribution to journal › Article › peer-review
Open AccessFile186 Downloads (Pure)