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Predicting the supremum: optimality of 'stop at once or not at all'
- Source :
- J. Appl. Probab. 49, no. 3 (2012), 806-820
- Publication Year :
- 2009
- Publisher :
- arXiv, 2009.
-
Abstract
- Let X_t, 0<br />20 pages; added a few specific examples and additional references
- Subjects :
- Statistics and Probability
optimal prediction
60G50
Statistics::Theory
General Mathematics
skew symmetry
Random walk
stopping time
Lévy process
Mathematics::Probability
Stopping time
FOS: Mathematics
Applied mathematics
60G25
Optimal stopping
ultimate supremum
60G40
Mathematics
convex function
60G40, 60G50, 60G51, 60G25
Stochastic process
Probability (math.PR)
Process (computing)
Infimum and supremum
Statistics, Probability and Uncertainty
Convex function
60J51
Mathematics - Probability
Subjects
Details
- Database :
- OpenAIRE
- Journal :
- J. Appl. Probab. 49, no. 3 (2012), 806-820
- Accession number :
- edsair.doi.dedup.....ba47d46aab447f577e7a62d2f0ac2b0c
- Full Text :
- https://doi.org/10.48550/arxiv.0912.0615