The optimal stopping problem concerned with ultimate maximum of a Lévy process

DOI10.3103/S0027132211040048zbMath1304.60049OpenAlexW2093271743MaRDI QIDQ2513223

S. S. Sinelnikov

Publication date: 2 February 2015

Published in: Moscow University Mathematics Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3103/s0027132211040048

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stopping times; optimal stopping problems; gambling theory (60G40)

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Cites Work

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• The trap of complacency in predicting the maximum
• Introductory lectures on fluctuations of Lévy processes with applications.
• 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
• Predicting the Time of the Ultimate Maximum for Brownian Motion with Drift
• On Conditional-Extremal Problems of the Quickest Detection of Nonpredictable Times of the Observable Brownian Motion
• Optimal prediction of the ultimate maximum of Brownian motion
• On a Property of the Moment at Which Brownian Motion Attains Its Maximum and Some Optimal Stopping Problems

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