Predicting the ultimate supremum of a stable Lévy process with no negative jumps

DOI10.1214/10-AOP598zbMath1235.60036arXiv1004.2133MaRDI QIDQ653307

Goran Peskir, Robert C. Dalang, Violetta Bernyk

Publication date: 9 January 2012

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1004.2133

zbMATH Keywords

optimal stopping; optimal prediction; fractional derivative; curved boundary; weakly singular Volterra integral equation; fractional free-boundary problem; polar kernel; stable Lévy process with no negative jumps; stochastic process reflected at its supremum

Mathematics Subject Classification ID

45J05: Integro-ordinary differential equations

26A33: Fractional derivatives and integrals

60G40: Stopping times; optimal stopping problems; gambling theory

60G25: Prediction theory (aspects of stochastic processes)

47G20: Integro-differential operators

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