Abstract:
We generalize the results of recent publications on the prediction of an unknown maximum of a process to the case of an exponential semimartingale whose logarithm can be represented as a sum of local martingales and a positive bias. Our results generalize across a wide variety of models, including multifactor models; the results can also be applied to risk reduction problems.
Presented by the member of Editorial Board:A. I. Kibzun
Citation:
R. V. Ivanov, “On predicting the maximum of a semimartingale and the optimal moment to sell a stock”, Avtomat. i Telemekh., 2015, no. 7, 69–77; Autom. Remote Control, 76:7 (2015), 1193–1200
\Bibitem{Iva15}
\by R.~V.~Ivanov
\paper On predicting the maximum of a~semimartingale and the optimal moment to sell a~stock
\jour Avtomat. i Telemekh.
\yr 2015
\issue 7
\pages 69--77
\mathnet{http://mi.mathnet.ru/at14255}
\elib{https://elibrary.ru/item.asp?id=24339968}
\transl
\jour Autom. Remote Control
\yr 2015
\vol 76
\issue 7
\pages 1193--1200
\crossref{https://doi.org/10.1134/S000511791507005X}
\isi{https://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=Publons&SrcAuth=Publons_CEL&DestLinkType=FullRecord&DestApp=WOS_CPL&KeyUT=000357651500005}
\elib{https://elibrary.ru/item.asp?id=23991893}
\scopus{https://www.scopus.com/record/display.url?origin=inward&eid=2-s2.0-84937597160}
Linking options:
https://www.mathnet.ru/eng/at14255
https://www.mathnet.ru/eng/at/y2015/i7/p69
This publication is cited in the following 1 articles:
Citation in format AMSBIB
Contact us: