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 / Mathematics Subject Classification ID: 60K35 / rank | |||
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| Property / Mathematics Subject Classification ID: 60G40 / rank | |||
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| Property / zbMATH DE Number: 6065648 / rank | |||
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martingales | |||
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reverse martingales | |||
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Levy processes | |||
| Property / zbMATH Keywords: Levy processes / rank | |||
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optimal stopping problems | |||
| Property / zbMATH Keywords: optimal stopping problems / rank | |||
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game version | |||
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no-information version | |||
| Property / zbMATH Keywords: no-information version / rank | |||
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well-posedness | |||
| Property / zbMATH Keywords: well-posedness / rank | |||
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Hadamard's criteria | |||
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Shannon entropy | |||
| Property / zbMATH Keywords: Shannon entropy / rank | |||
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Pascal processes | |||
| Property / zbMATH Keywords: Pascal processes / rank | |||
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\(1/e\)-law | |||
| Property / zbMATH Keywords: \(1/e\)-law / rank | |||
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monotone subsequence problem | |||
| Property / zbMATH Keywords: monotone subsequence problem / rank | |||
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investment problem | |||
| Property / zbMATH Keywords: investment problem / rank | |||
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Revision as of 01:48, 30 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stochastic processes with proportional increments and the last-arrival problem |
scientific article |
Statements
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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