Examples of optimal prediction in the infinite horizon case
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References listed on IDEAS
- Jacques du Toit & Goran Peskir, 2009. "Selling a stock at the ultimate maximum," Papers 0908.1014, arXiv.org.
- Gerber, Hans U., 1977. "On Optimal Cancellation of Policies," ASTIN Bulletin, Cambridge University Press, vol. 9(1-2), pages 125-138, January.
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- Peskir, Goran, 2012. "Optimal detection of a hidden target: The median rule," Stochastic Processes and their Applications, Elsevier, vol. 122(5), pages 2249-2263.
- M'onica B. Carvajal Pinto & Kees van Schaik, 2019. "Optimally stopping at a given distance from the ultimate supremum of a spectrally negative L\'evy process," Papers 1904.11911, arXiv.org, revised Jul 2020.
- Albert Cohen, 2018. "Editorial: A Celebration of the Ties That Bind Us: Connections between Actuarial Science and Mathematical Finance," Risks, MDPI, vol. 6(1), pages 1-3, January.
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Keywords
Optimal stopping Non-adapted functionals Infinite horizon;Statistics
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