On the joint distribution of the supremum functional and its last occurrence for subordinated linear Brownian motion
type: Item
instance of: scholarly article
title: On the joint distribution of the supremum functional and its last occurrence for subordinated linear Brownian motion
zbMATH Open document ID: 1329.60290
author: Jun Wang
author: Stergios Fotopoulos
author: Venkata Jandhyala
published in: Statistics \& Probability Letters
publication date: 2015-12-22T00:00:00Z
Mathematics Subject Classification ID: 60J65
Mathematics Subject Classification ID: 60G51
Mathematics Subject Classification ID: 60J75
zbMATH DE Number: 6523428
zbMATH Keywords: subordinated linear Brownian motion
zbMATH Keywords: bivariate supremum
zbMATH Keywords: Laplace transform
zbMATH Keywords: Lévy process
zbMATH Keywords: Wiener-Hopf factorization
zbMATH Keywords: convolution
zbMATH Keywords: exponential mixtures
MaRDI profile type: Publication
full work available at URL: j.spl.2015.07.018
OpenAlex ID: W959290082
cites work: Q2716350
cites work: On the Distribution of the Supremum Functional for Processes with Stationary Independent Increments
cites work: The law of the supremum of a stable Lévy process with no negative jumps
cites work: Q4888858
cites work: Cramér's estimate for Lévy processes
cites work: Subordinated Brownian motion: last time the process reaches its supremum
cites work: Q3084090
cites work: On the First Passage time for Brownian Motion Subordinated by a Lévy Process
cites work: Oscillation of harmonic functions for subordinate Brownian motion and its applications
cites work: Boundary Harnack principle for subordinate Brownian motions
cites work: Potential theory of subordinate Brownian motions with Gaussian components
cites work: Wiener-Hopf factorization and distribution of extrema for a family of Lévy processes
cites work: On extrema of stable processes
cites work: On the density of the supremum of a stable process
cites work: Fluctuations of stable processes and exponential functionals of hypergeometric Lévy processes
cites work: Spectral analysis of subordinate Brownian motions on the half-line
cites work: Suprema of Lévy processes
cites work: First passage times for subordinate Brownian motions
cites work: Q3412812
cites work: The law of the hitting times to points by a stable Lévy process with no negative jumps
cites work: Q4937701
cites work: Bernstein functions. Theory and applications
DOI: 10.1016/J.SPL.2015.07.018
description: scientific article; zbMATH DE number 6523428