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research article
Predicting The Ultimate Supremum Of A Stable Levy Process With No Negative Jumps
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
Type
research article
Web of Science ID
WOS:000297849900008
Authors
Publication date
2011
Published in
Volume
39
Start page
2385
End page
2423
Subjects
Peer reviewed
REVIEWED
EPFL units
Available on Infoscience
June 12, 2012
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