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Avtomatika i Telemekhanika, 2015, Issue 7, Pages 69–77 (Mi at14255)  
This article is cited in 1 scientific paper (total in 1 paper)

Stochastic Systems, Queuing Systems

On predicting the maximum of a semimartingale and the optimal moment to sell a stock

R. V. Ivanov

Trapeznikov Institute of Control Sciences, Russian Academy of Sciences, Moscow, Russia
Full-text PDF (172 kB) Citations (1)
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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

Received: 13.01.2014
English version:
Automation and Remote Control, 2015, Volume 76, Issue 7, Pages 1193–1200
DOI: https://doi.org/10.1134/S000511791507005X
Bibliographic databases:
Document Type: Article
Language: Russian
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
Citation in format AMSBIB
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  • https://www.mathnet.ru/eng/at/y2015/i7/p69
    • This publication is cited in the following 1 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
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    Full-text PDF :54
    References:50
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