Law of two-sided exit by a spectrally positive strictly stable process

DOI10.1016/j.spa.2019.11.006zbMath1456.60113arXiv1806.07433OpenAlexW2990292077WikidataQ126657082 ScholiaQ126657082MaRDI QIDQ2182623

Zhiyi Chi

Publication date: 26 May 2020

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1806.07433

zbMATH Keywords

stableLévy processMittag-Lefflertwo-sided exit problemspectrally positive

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51)

Uses Software

• DLMF

Cites Work

• Distribution of roots of Mittag-Leffler functions
• Fluctuation theory for Lévy processes. Ecole d'Eté de probabilités de Saint-Flour XXXV -- 2005.
• The law of the supremum of a stable Lévy process with no negative jumps
• The law of the hitting times to points by a stable Lévy process with no negative jumps
• Exponential decay and ergodicity of completely asymmetric Lévy processes in a finite interval
• Completely asymmetric Lévy processes confined in a finite interval
• Fluctuations of Lévy processes with applications. Introductory lectures
• Hitting densities for spectrally positive stable processes
• First Passage Times for Symmetric Stable Processes in Space
• On the First Exit Time of a Completely Asymmetric Stable Process from a Finite Interval
• Brownian Motion
• On the numerical computation of the Mittag-Leffler function
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