Predicting the Supremum: Optimality of ‘Stop at Once or Not at All’

DOI10.1239/jap/1346955335zbMath1270.60049arXiv0912.0615MaRDI QIDQ3165496

Pieter C. Allaart

Publication date: 29 October 2012

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

Full work available at URL: https://arxiv.org/abs/0912.0615

zbMATH Keywords

convex function; stopping time; random walk; Lévy process; optimal prediction; skew symmetry; ultimate supremum

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

60G50: Sums of independent random variables; random walks

60G40: Stopping times; optimal stopping problems; gambling theory

60G25: Prediction theory (aspects of stochastic processes)

Cites Work

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