Predicting the time at which a Lévy process attains its ultimate supremum
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Publication:2255610
DOI10.1007/s10440-014-9867-2zbMath1309.60039arXiv1207.4736MaRDI QIDQ2255610
Kees van Schaik, Erik J. Baurdoux
Publication date: 17 February 2015
Published in: Acta Applicandae Mathematicae (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1207.4736
60G51: Processes with independent increments; Lévy processes
62M20: Inference from stochastic processes and prediction
60G40: Stopping times; optimal stopping problems; gambling theory
Related Items
Discounted Optimal Stopping Problems for Maxima of Geometric Brownian Motions With Switching Payoffs, Optimally Stopping at a Given Distance from the Ultimate Supremum of a Spectrally Negative Lévy Process, Geometrically Convergent Simulation of the Extrema of Lévy Processes, Predicting the last zero before an exponential time of a spectrally negative Lévy process, \(L^p\) optimal prediction of the last zero of a spectrally negative Lévy process, Existence of density functions for the running maximum of a Lévy-Itô diffusion, Optimal stopping problems for running minima with positive discounting rates, Subordinated Brownian motion: last time the process reaches its supremum
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