Predicting the Last Zero of a Spectrally Negative Lévy Process

Erik J. Baurdoux; José M. Pedraza

doi:10.1007/978-3-030-57513-7_4

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Predicting the Last Zero of a Spectrally Negative Lévy Process

Erik J. Baurdoux José M. Pedraza

Year: 2020 Progress in probability Pages: 77-105 Publisher: Springer International Publishing

DOI: 10.1007/978-3-030-57513-7_4

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Keywords:

Optimal stopping Brownian motion First-hitting-time model Zero (linguistics) Mathematics Stopping time Lévy process Stochastic game Convolution (computer science) Path (computing) Diffusion process Time horizon Process (computing) Applied mathematics Mathematical optimization Computer science Mathematical economics Statistics Artificial intelligence

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Predicting the Last Zero of a Spectrally Negative Lévy Process

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