Optimal estimation of some random quantities of a Lévy process

In this paper we present new theoretical results on optimal estimation of certain random quantities based on high frequency observations of a Lévy process. More specifically, we investigate the asymptotic theory for the conditional mean and conditional median estimators of the supremum/infimum of a linear Brownian motion and a stable Lévy process. Another contribution of our article is the conditional mean estimation of the local time and the occupation time measure of a linear Brownian motion. We demonstrate that the new estimators are considerably more efficient compared to the classical estimators. Furthermore, we discuss pre-estimation of the parameters of the underlying models, which is required for practical implementation of the proposed statistics.

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