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Avtomat. i Telemekh., 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

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.

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English version:
Automation and Remote Control, 2015, 76:7, 1193–1200

Bibliographic databases:

Presented by the member of Editorial Board: . . 

Received: 13.01.2014

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
\Bibitem{Iva15}
\by R.~V.~Ivanov
\paper On predicting the maximum of a~semimartingale and the optimal moment to sell a~stock
\jour Avtomat. i Telemekh.
\yr 2015
\issue 7
\pages 69--77
\mathnet{http://mi.mathnet.ru/at14255}
\elib{https://elibrary.ru/item.asp?id=24339968}
\transl
\jour Autom. Remote Control
\yr 2015
\vol 76
\issue 7
\pages 1193--1200
\crossref{https://doi.org/10.1134/S000511791507005X}
\isi{http://gateway.isiknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&DestLinkType=FullRecord&DestApp=ALL_WOS&KeyUT=000357651500005}
\elib{https://elibrary.ru/item.asp?id=23991893}
\scopus{https://www.scopus.com/record/display.url?origin=inward&eid=2-s2.0-84937597160}


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    Citing articles on Google Scholar: Russian citations, English citations
    Related articles on Google Scholar: Russian articles, English articles

    This publication is cited in the following articles:
    1. R. V. Ivanov, “On computing the price of financial instruments in foreign currency”, Autom. Remote Control, 79:4 (2018), 679–690  mathnet  crossref  isi  elib
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