Predicting the Supremum: Optimality of ‘Stop at Once or Not at All’

DOI10.1239/JAP/1346955335zbMath1270.60049arXiv0912.0615OpenAlexW2963231183MaRDI QIDQ3165496

Pieter C. Allaart

Publication date: 29 October 2012

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

Full work available at URL: https://arxiv.org/abs/0912.0615

zbMATH Keywords

convex functionstopping timerandom walkLévy processoptimal predictionskew symmetryultimate supremum

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Sums of independent random variables; random walks (60G50) Stopping times; optimal stopping problems; gambling theory (60G40) Prediction theory (aspects of stochastic processes) (60G25)

Cites Work

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• Thou shalt buy and hold
• Lévy Processes and Stochastic Calculus
• Optimal prediction of the ultimate maximum of Brownian motion
• Inequalities: theory of majorization and its applications

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