Examples of optimal prediction in the infinite horizon case

DOI10.1016/j.spl.2010.02.006zbMath1189.62137OpenAlexW2010470191MaRDI QIDQ973174

Albert Cohen

Publication date: 28 May 2010

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2010.02.006

zbMATH Keywords

infinite horizonoptimal stoppingnon-adapted functionals

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)

Related Items (5)

Optimal detection of a hidden target: the median rule ⋮ Three-dimensional Brownian motion and the golden ratio rule ⋮ Quickest detection of a hidden target and extremal surfaces ⋮ Predicting the time at which a Lévy process attains its ultimate supremum ⋮ Optimally Stopping at a Given Distance from the Ultimate Supremum of a Spectrally Negative Lévy Process

Cites Work

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• The trap of complacency in predicting the maximum
• The Russian option: Reduced regret
• Selling a stock at the ultimate maximum
• Stopping Brownian Motion Without Anticipation as Close as Possible to Its Ultimate Maximum
• Optimal forecasting of the time of attaining the maximum by Brownian motion
• Optimal Dividends

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