Stochastic processes with proportional increments and the last-arrival problem (Q444355): Difference between revisions

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Property / author: Marc Yor / rank
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Property / full work available at URL: https://doi.org/10.1016/j.spa.2012.05.010 / rank
 
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Latest revision as of 14:05, 5 July 2024

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Stochastic processes with proportional increments and the last-arrival problem
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    Stochastic processes with proportional increments and the last-arrival problem (English)
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    14 August 2012
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    martingales
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    reverse martingales
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    Levy processes
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    optimal stopping problems
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    game version
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    no-information version
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    well-posedness
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    Hadamard's criteria
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    Shannon entropy
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    Pascal processes
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    \(1/e\)-law
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    monotone subsequence problem
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    investment problem
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