Optimal prediction for positive self-similar Markov processes

DOI10.1214/16-EJP4280zbMath1346.60121arXiv1409.2078MaRDI QIDQ303567

Curdin Ott, Andreas E. Kyprianou, Erik J. Baurdoux

Publication date: 22 August 2016

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1409.2078

zbMATH Keywords

optimal stoppingself-similarityoptimal predictionpositive Markov processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Inference from stochastic processes and prediction (62M20) Continuous-time Markov processes on general state spaces (60J25) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Self-similar stochastic processes (60G18) Prediction theory (aspects of stochastic processes) (60G25)

Related Items (4)

\(L^p\) optimal prediction of the last zero of a spectrally negative Lévy process ⋮ Discretization of the Lamperti representation of a positive self-similar Markov process ⋮ Exit problems for positive self-similar Markov processes with one-sided jumps ⋮ Optimally Stopping at a Given Distance from the Ultimate Supremum of a Spectrally Negative Lévy Process

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