Violetta Bernyk

most citedThe law of the supremum of a stable Lévy process with no negative jumps

55 citations · 79 across the 2 of their papers we have counts for

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math.PR2010★ 24 cited

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

Violetta Bernyk, Robert C. Dalang, Goran Peskir

Given a stable Lévy process $X = (X_{t})_{0 \leq t \leq T}$ of index $α \in (1, 2)$ with no negative jumps, and letting $S_{t} = sup_{0 \leq s \leq t} X_{s}$ denote its running supremum for $t\in [0,T]…

math.PR2007★ 55 cited

The law of the supremum of a stable Lévy process with no negative jumps

Violetta Bernyk, Robert C. Dalang, Goran Peskir

Let $X = (X_{t})_{t \geq 0}$ be a stable Lévy process of index $α \in (1, 2)$ with no negative jumps and let $S_{t} = sup_{0 \leq s \leq t} X_{s}$ denote its running supremum for $t > 0$ . We show that t…