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- W4300478841 abstract "Let X_t, 0<=t<=T be a one-dimensional stochastic process with independent and stationary increments. This paper considers the problem of stopping the process X_t as close as possible to its eventual supremum M_T:=sup{X_t: 0<=t<=T}, when the reward for stopping with a stopping time tau<=T is a nonincreasing convex function of M_T-X_tau. Under fairly general conditions on the process X_t, it is shown that the optimal stopping time tau is of bang-bang form: it is either optimal to stop at time 0 or at time T. For the case of random walk, the rule tau=T is optimal if the steps of the walk stochastically dominate their opposites, and the rule tau=0 is optimal if the reverse relationship holds. For Le'vy processes X_t with finite Le'vy measure, an analogous result is proved assuming that the jumps of X_t satisfy the above condition, and the drift of X_t has the same sign as the mean jump. Finally, conditions are given under which the result can be extended to the case of nonfinite Le'vy measure." @default.
- W4300478841 created "2022-10-03" @default.
- W4300478841 creator A5014165836 @default.
- W4300478841 date "2009-12-03" @default.
- W4300478841 modified "2023-09-29" @default.
- W4300478841 title "Predicting the supremum: optimality of stop at once or not at all" @default.
- W4300478841 doi "https://doi.org/10.48550/arxiv.0912.0615" @default.
- W4300478841 hasPublicationYear "2009" @default.
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