Optimal prediction of the last-passage time of a transient diffusion

Glover, K; Hulley, H

Optimal prediction of the last-passage time of a transient diffusion

Glover, K

Hulley, H

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Publication Type:: Journal Article
Citation:: SIAM Journal on Control and Optimization, 2014, 52 (6), pp. 3833 - 3853
Issue Date:: 2014-01-01

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Field	Value	Language
dc.contributor.author	Glover, K https://orcid.org/0000-0002-1518-3482	en_US
dc.contributor.author	Hulley, H https://orcid.org/0000-0002-6684-8309	en_US
dc.date.issued	2014-01-01	en_US
dc.identifier.citation	SIAM Journal on Control and Optimization, 2014, 52 (6), pp. 3833 - 3853	en_US
dc.identifier.issn	0363-0129	en_US
dc.identifier.uri	http://hdl.handle.net/10453/37766
dc.description.abstract	© 2014 Society for Industrial and Applied Mathematics We identify the integrable stopping time τ∗ with minimal L1-distance from the last-passage time γz associated with a given level z > 0, for an arbitrary nonnegative time-homogeneous transient diffusion X . We demonstrate that τ∗ is in fact the first time that X assumes a value outside a half-open interval [0, r∗). The upper boundary r∗ > z of this interval is characterized either as the solution for a one-dimensional optimization problem, or as part of the solution for a free-boundary problem. A number of concrete examples illustrate the result.	en_US
dc.relation.ispartof	SIAM Journal on Control and Optimization	en_US
dc.relation.isbasedon	10.1137/130950719	en_US
dc.subject.classification	Industrial Engineering & Automation	en_US
dc.title	Optimal prediction of the last-passage time of a transient diffusion	en_US
dc.type	Journal Article
utslib.citation.volume	6	en_US
utslib.citation.volume	52	en_US
utslib.for	0102 Applied Mathematics	en_US
utslib.for	0906 Electrical and Electronic Engineering	en_US
utslib.for	0913 Mechanical Engineering	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Finance Discipline
pubs.organisational-group	/University of Technology Sydney/Strength - QFRC - Quantitative Finance Research Centre
utslib.copyright.status	open_access
pubs.issue	6	en_US
pubs.publication-status	Published	en_US
pubs.volume	52	en_US

Abstract:

© 2014 Society for Industrial and Applied Mathematics We identify the integrable stopping time τ∗ with minimal L1-distance from the last-passage time γz associated with a given level z > 0, for an arbitrary nonnegative time-homogeneous transient diffusion X . We demonstrate that τ∗ is in fact the first time that X assumes a value outside a half-open interval [0, r∗). The upper boundary r∗ > z of this interval is characterized either as the solution for a one-dimensional optimization problem, or as part of the solution for a free-boundary problem. A number of concrete examples illustrate the result.

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http://hdl.handle.net/10453/37766