This article is cited 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.

Presented by the member of Editorial Board: A. I. Kibzun

Received: 13.01.2014

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

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