A note on the supremum of a stable process

DOI10.1080/17442500701830399zbMath1139.60022arXiv0712.3414OpenAlexW1991838169MaRDI QIDQ3498579

Ronald Arthur Doney

Publication date: 15 May 2008

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0712.3414

zbMATH Keywords

densityasymptotic behaviourLévy measurestable processsupremum

Mathematics Subject Classification ID

Stable stochastic processes (60G52)

Related Items (11)

Existence of density functions for the running maximum of a Lévy-Itô diffusion ⋮ Formula for the supremum distribution of a spectrally positive \(\alpha \)-stable Lévy process ⋮ Penalisation of a stable Lévy process involving its one-sided supremum ⋮ Predicting the ultimate supremum of a stable Lévy process with no negative jumps ⋮ Expected maximum of bridge random walks & Lévy flights ⋮ The law of the supremum of a stable Lévy process with no negative jumps ⋮ On extrema of stable processes ⋮ The asymptotic behavior of densities related to the supremum of a stable process ⋮ Exact simulation of the extrema of stable processes ⋮ A few remarks on the supremum of stable processes ⋮ A lifetime of excursions through random walks and Lévy processes

Cites Work

• Unnamed Item
• On the behaviour of the characteristic function of a probability distribution in the neighbourhood of the origin

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