Optimally Stopping at a Given Distance from the Ultimate Supremum of a Spectrally Negative Lévy Process
From MaRDI portal
Publication:5022289
DOI10.1017/apr.2020.54zbMath1493.60070arXiv1904.11911OpenAlexW3137219779MaRDI QIDQ5022289
Mónica B. Carvajal Pinto, Kees van Schaik
Publication date: 18 January 2022
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1904.11911
Processes with independent increments; Lévy processes (60G51) Inference from stochastic processes and prediction (62M20) Stopping times; optimal stopping problems; gambling theory (60G40)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Optimal prediction for positive self-similar Markov processes
- Gerber-Shiu risk theory
- Predicting the ultimate supremum of a stable Lévy process with no negative jumps
- The trap of complacency in predicting the maximum
- Examples of optimal prediction in the infinite horizon case
- Predicting the time at which a Lévy process attains its ultimate supremum
- Fluctuations of Lévy processes with applications. Introductory lectures
- Selling a stock at the ultimate maximum
- Some remarks on first passage of Lévy processes, the American put and pasting principles
- Stopping Brownian Motion Without Anticipation as Close as Possible to Its Ultimate Maximum
- Old and New Examples of Scale Functions for Spectrally Negative Lévy Processes
- A General ‘Bang-Bang’ Principle for Predicting the Maximum of a Random Walk
- The Theory of Scale Functions for Spectrally Negative Lévy Processes
- Predicting the Time of the Ultimate Maximum for Brownian Motion with Drift
- Probability with Martingales
- Stochastic Integration with Jumps
- Financial Modelling with Jump Processes
- Detecting the Maximum of a Scalar Diffusion with Negative Drift
- Optimal Stopping Rules
This page was built for publication: Optimally Stopping at a Given Distance from the Ultimate Supremum of a Spectrally Negative Lévy Process
