Predicting the time at which a Lévy process attains its ultimate supremum
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Publication:2255610
DOI10.1007/s10440-014-9867-2zbMath1309.60039arXiv1207.4736OpenAlexW2028639375MaRDI 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
Processes with independent increments; Lévy processes (60G51) Inference from stochastic processes and prediction (62M20) Stopping times; optimal stopping problems; gambling theory (60G40)
Related Items (8)
Geometrically Convergent Simulation of the Extrema of Lévy Processes ⋮ Predicting the last zero before an exponential time of a spectrally negative Lévy process ⋮ Existence of density functions for the running maximum of a Lévy-Itô diffusion ⋮ \(L^p\) optimal prediction of the last zero of a spectrally negative Lévy process ⋮ Optimal stopping problems for running minima with positive discounting rates ⋮ 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 ⋮ Subordinated Brownian motion: last time the process reaches its supremum
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