Predicting the Supremum: Optimality of ‘Stop at Once or Not at All’
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Publication:3165496
DOI10.1239/jap/1346955335zbMath1270.60049arXiv0912.0615MaRDI QIDQ3165496
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
convex function; stopping time; random walk; Lévy process; optimal prediction; skew symmetry; ultimate supremum
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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