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Erik Baurdoux (LSE) - Lp optimal prediction of the last zero of a spectrally negative Lévy process

Dates:14 November 2019
Times:14:00 - 15:00
What is it:Seminar
Organiser:Department of Mathematics
Speaker:Erik Bardoux
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  • In category "Seminar"
  • In group "(Maths) Probability and statistics"
  • By Department of Mathematics

Erick Baurdoux joins us for the Probability seminar.

Given a spectrally negative Lévy process $X$ drifting to infinity, we are interested in finding a stopping time which minimises the $L^p$ distance with the last zero of $X$. We prove that solving this optimal prediction problem is equivalent to solving an optimal stopping problem in terms of a two dimensional strong Markov process involving the duration of the excursion of $X$ away from the negative half line. We show that an optimal stopping time is given by the first time that $X$ exceeds a boundary depending on the time spent above the level zero.

Speaker

Erik Bardoux

Role: Associate Professor in Statistics

Organisation: LSE

  • http://stats.lse.ac.uk/baurdoux/

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Denis Denisov

denis.denisov@manchester.ac.uk

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