G. Peskir

most citedThe trap of complacency in predicting the maximum

72 citations · 127 across the 2 of their papers we have counts for

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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…

math.PR2007★ 72 cited

The trap of complacency in predicting the maximum

J. du Toit, G. Peskir

Given a standard Brownian motion $B^{μ} = (B_{t}^{μ})_{0 \leq t \leq T}$ with drift $μ \in R$ and letting $S_{t}^{μ} = max_{0 \leq s \leq t} B_{s}^{μ}$ for $0 \leq t \leq T$ , we consider the optimal pre…