On predicting the maximum of a semimartingale and the optimal moment to sell a stock

DOI10.1134/S000511791507005XzbMath1320.93091OpenAlexW2411693492MaRDI QIDQ500285

Roman V. Ivanov

Publication date: 2 October 2015

Published in: Automation and Remote Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s000511791507005x

zbMATH Keywords

exponential semimartingaleprediction of a maximumsell a stock

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Generalizations of martingales (60G48) Optimal stochastic control (93E20) Portfolio theory (91G10)

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Cites Work

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