Predicting the last zero before an exponential time of a spectrally negative Lévy process

DOI10.1017/apr.2022.47zbMath1523.60086arXiv2108.04480OpenAlexW3192649581MaRDI QIDQ6101822

Erik J. Baurdoux, José M. Pedraza

Publication date: 5 May 2023

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

Full work available at URL: https://arxiv.org/abs/2108.04480

zbMATH Keywords

Lévy processesoptimal stoppingoptimal prediction

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Inference from stochastic processes and prediction (62M20) Stopping times; optimal stopping problems; gambling theory (60G40)

Cites Work

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