On the joint distribution of the supremum functional and its last occurrence for subordinated linear Brownian motion

DOI10.1016/j.spl.2015.07.018zbMath1329.60290OpenAlexW959290082MaRDI QIDQ900549

Jun Wang, Venkata K. Jandhyala, Stergios B. Fotopoulos

Publication date: 22 December 2015

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2015.07.018

zbMATH Keywords

Laplace transformconvolutionWiener-Hopf factorizationLévy processbivariate supremumexponential mixturessubordinated linear Brownian motion

Mathematics Subject Classification ID

Related Items (2)

Fluctuation theory for Lévy processes with completely monotone jumps ⋮ Some properties of the multivariate generalized hyperbolic laws

Cites Work

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