On the asymptotic behavior of the density of the supremum of Lévy processes

DOI10.1214/15-AIHP674zbMath1350.60042arXiv1310.1587OpenAlexW2962763668MaRDI QIDQ330695

Loïc Chaumont, Jacek Małecki

Publication date: 26 October 2016

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1310.1587

zbMATH Keywords

Lévy processesdensityasymptotic behaviourrenewal functionmeanderpast supremum

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Limit theorems in probability theory (60F99) Renewal theory (60K05)

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