Predicting the time at which a Lévy process attains its ultimate supremum (Q2255610): Difference between revisions

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-.1007/s10440-014-9867-2
@@ Property / DOI: 10.1007/s10440-014-9867-2 / rank @@
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+W2028639375
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+.4736
@@ Property / arXiv ID: 1207.4736 / rank @@
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@@ Property / cites work @@
+Some remarks on first passage of Lévy processes, the American put and pasting principles
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+A General ‘Bang-Bang’ Principle for Predicting the Maximum of a Random Walk
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+Further Calculations for the McKean Stochastic Game for a Spectrally Negative Lévy Process: From a Point to an Interval
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+Predicting the ultimate supremum of a stable Lévy process with no negative jumps
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+Sur la décomposition de la trajectoire d'un processus de Lévy spectralement positif en son infimum. (On the path decomposition at the infimum for a spectrally positive Lévy process)
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+Splitting at the infimum and excursions in half-lines for random walks and Lévy processes
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+Q4888858
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+Stochastic Integration with Jumps
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+On Lévy processes conditioned to stay positive
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+On the law of the supremum of Lévy processes
@@ Property / cites work: On the law of the supremum of Lévy processes / rank @@
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+Examples of optimal prediction in the infinite horizon case
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+The trap of complacency in predicting the maximum
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+Predicting the Time of the Ultimate Maximum for Brownian Motion with Drift
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+Selling a stock at the ultimate maximum
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+Path decompositions for real Lévy processes
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+Detecting the Maximum of a Scalar Diffusion with Negative Drift
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+Three-dimensional Brownian motion and the golden ratio rule
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+Stopping Brownian Motion Without Anticipation as Close as Possible to Its Ultimate Maximum
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+A variation of the Canadisation algorithm for the pricing of American options driven by Lévy processes
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+Meromorphic Lévy processes and their fluctuation identities
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+Introductory lectures on fluctuations of Lévy processes with applications.
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+Completely asymmetric Lévy processes confined in a finite interval
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+A MULTINOMIAL APPROXIMATION FOR AMERICAN OPTION PRICES IN LÉVY PROCESS MODELS
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+Wavelet Galerkin pricing of American options on Lévy driven assets
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+Zero-One Laws and the Minimum of a Markov Process
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+Optimal detection of a hidden target: the median rule
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+Q4937701
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+On a Property of the Moment at Which Brownian Motion Attains Its Maximum and Some Optimal Stopping Problems
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+VOTRE LÉVY RAMPE-T-IL?
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@@ Property / DOI @@
+.1007/S10440-014-9867-2
@@ Property / DOI: 10.1007/S10440-014-9867-2 / rank @@
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