By Kristoffer Glover and Hardy Hulley

We identify the integrable stopping time *\tau_** with minimal *L^1*-distance to the last-passage time *\gamma_z* to a given level *z>0*, for an arbitrary non-negative time-homogeneous transient diffusion *X*. We demonstrate that *\tau_** is in fact the first time that *X* assumes a value outside a half-open interval *[0,r_*)*. The upper... Show more

December 26, 2013

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Optimal Prediction of the Last-Passage Time of a Transient Diffusion

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