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Predicting The Ultimate Supremum Of A Stable Levy Process With No Negative Jumps

Bernyk, Violetta
•
Dalang, Robert C.  
•
Peskir, Goran
2011
Annals Of Probability

Given a stable Levy process X = (X-t)(0 <= t <= T) of index alpha is an element of (1, 2) with no negative jumps, and letting S-t = sup(0 <= s <= t) X-s denote its running supremum for t is an element of [0, T], we consider the optimal prediction problem

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