Campuses:

excursion processes

Monday, June 11, 2018 - 1:30pm - 2:00pm
Philip Ernst (Rice University)
Suppose you have one unit of stock, currently worth 1, which you must sell before time $T$. The Optional Sampling Theorem tells us that whatever stopping time we choose to sell, the expected discounted value we get when we sell will be 1. Suppose however that we are able to see $a$ units of time into the future, and base our stopping rule on that; we should be able to do better than expected value 1. But how much better can we do? And how would we exploit the additional information?
Subscribe to RSS - excursion processes