On predicting the ultimate maximum for exponential Lévy processes
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Publication:456278
DOI10.1214/ECP.V17-1805zbMath1255.60066OpenAlexW2083274879MaRDI QIDQ456278
Katsunori Ano, Roman V. Ivanov
Publication date: 23 October 2012
Published in: Electronic Communications in Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/ecp.v17-1805
Processes with independent increments; Lévy processes (60G51) Extreme value theory; extremal stochastic processes (60G70) Prediction theory (aspects of stochastic processes) (60G25)
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