Optimal prediction for positive self-similar Markov processes

DOI10.1214/16-EJP4280zbMATH Open1346.60121arXiv1409.2078MaRDI QIDQ303567FDOQ303567

Authors: Erik J. Baurdoux, A. E. Kyprianou, Curdin Ott 

Publication date: 22 August 2016

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Abstract: This paper addresses the question of predicting when a positive self-similar Markov process X attains its pathwise global supremum or infimum before hitting zero for the first time (if it does at all). This problem has been studied in Glover et al. (2013) under the assumption that X is a positive transient diffusion. We extend their result to the class of positive self-similar Markov processes by establishing a link to Baurdoux and van Schaik (2013), where the same question is studied for a Levy process drifting to minus infinity. The connection to Baurdoux and van Schaik (2013) relies on the so-called Lamperti transformation which links the class of positive self-similar Markov processes with that of Levy processes. Our approach will reveal that the results in Glover et al. (2013) for Bessel processes can also be seen as a consequence of self-similarity.

Full work available at URL: https://arxiv.org/abs/1409.2078

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zbMATH Keywords

optimal stoppingself-similarityoptimal predictionpositive Markov processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Inference from stochastic processes and prediction (62M20) Prediction theory (aspects of stochastic processes) (60G25) Diffusion processes (60J60) Continuous-time Markov processes on general state spaces (60J25) Stopping times; optimal stopping problems; gambling theory (60G40) Self-similar stochastic processes (60G18)

Cited In (7)

• Discretization of the Lamperti representation of a positive self-similar Markov process
• Optimally stopping at a given distance from the ultimate supremum of a spectrally negative Lévy process
• A temporal factorization at the maximum for certain positive self-similar Markov processes
• Exit problems for positive self-similar Markov processes with one-sided jumps
• Fluctuation theory and exit systems for positive self-similar Markov processes
• On the future infimum of positive self-similar Markov processes
• \(L^p\) optimal prediction of the last zero of a spectrally negative Lévy process

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