Predicting The Ultimate Supremum Of A Stable Levy Process With No Negative Jumps
2011
Abstract
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
Details
Title
Predicting The Ultimate Supremum Of A Stable Levy Process With No Negative Jumps
Author(s)
Bernyk, Violetta ; Dalang, Robert C. ; Peskir, Goran
Published in
Annals Of Probability
Volume
39
Pages
2385-2423
Date
2011
Keywords
Optimal prediction; optimal stopping; ultimate supremum; stable Levy process with no negative jumps; spectrally positive; fractional free-boundary problem; Riemann-Liouville fractional derivative; Caputo fractional derivative; stochastic process reflected at its supremum; infinitesimal generator; weakly singular Volterra integral equation; polar kernel; smooth fit; curved boundary; Brownian-Motion; Maximum
Other identifier(s)
View record in Web of Science
Laboratories
PROB
Record Appears in
Scientific production and competences > SB - School of Basic Sciences > MATH - Institute of Mathematics > PROB - Chair of Probability
Scientific production and competences > SB - School of Basic Sciences > Mathematics
Peer-reviewed publications
Work produced at EPFL
Journal Articles
Published
Scientific production and competences > SB - School of Basic Sciences > Mathematics
Peer-reviewed publications
Work produced at EPFL
Journal Articles
Published
Record creation date
2012-06-12