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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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