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CALSCALE:GREGORIAN
METHOD:PUBLISH
BEGIN:VEVENT
DTSTAMP:20191114T064956Z
DTSTART:20191114T140000Z
DTEND:20191114T150000Z
SUMMARY:Erik Baurdoux (LSE) - Lp optimal prediction of the last zero of a
  spectrally negative Lévy process
UID:{http://www.columbasystems.com/customers/uom/gpp/eventid/}e9-k2ycstic
 -42pzgy
DESCRIPTION:Erick Baurdoux joins us for the Probability seminar. \n\nGive
 n a spectrally negative Lévy process $X$ drifting to infinity\, we are i
 nterested in finding a stopping time which minimises the $L^p$ distance 
 with the last zero of $X$. \nWe prove that solving this optimal predicti
 on problem is equivalent to solving an optimal stopping problem in terms
  of a two dimensional strong Markov process involving the duration of th
 e excursion of $X$ away from the negative half line. \nWe show that an o
 ptimal stopping time is given by the first time that $X$ exceeds a bound
 ary depending on the time spent above the level zero.
STATUS:TENTATIVE
TRANSP:TRANSPARENT
CLASS:PUBLIC
LOCATION:Frank Adams 2\, Alan Turing Building\, Manchester
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