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Predicting the Time at Which a Lévy Process Attains Its Ultimate Supremum · Study

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ArticlePredicting the Time at Which a Lévy Process Attains Its Ultimate Supremum

Erik J. Baurdoux2014

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Articlegreen2014

Predicting the Time at Which a Lévy Process Attains Its Ultimate Supremum

Erik J. Baurdoux · Kees van Schaik

18 citations·0/0 files stored·Acta Applicandae Mathematicae

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Stochastic processes and financial applications Probability and Statistical Research Probability and Risk Models

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References

2006Optimal stopping and free-boundary problems 2005Some remarks on first passage of Lévy processes, the American put and pasting principles 2002Stochastic Integration with Jumps 2011Old and New Examples of Scale Functions for Spectrally Negative Lévy Processes 2005Wavelet Galerkin pricing of American options on Lévy driven assets 2009Selling a stock at the ultimate maximum 2012Meromorphic Lévy processes and their fluctuation identities 2001Stopping Brownian Motion Without Anticipation as Close as Possible to Its Ultimate Maximum

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2010Quickest detection of a hidden target and extremal surfacesarticle · 9 shared references 2014Quickest detection of a hidden target and extremal surfacesarticle · 7 shared references 2011Predicting the Ultimate Supremum of a Stable Lévy Process with No Negative Jumpsarticle · 5 shared references 2013Three-dimensional Brownian motion and the golden ratio rulearticle · 4 shared references 2012Optimal detection of a hidden target: The median rulearticle · 4 shared references 2008Predicting the Time of the Ultimate Maximum for Brownian Motion with Driftchapter · 4 shared references

Details

Year2014

Typearticle

Published2014-01-30

VenueActa Applicandae Mathematicae

ISSN-L0167-8019

Languageen

Citations18

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s10440-014-9867-2

openalex_workW2028639375

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