Publication:2042761

DOI10.1214/21-EJP618zbMATH Open1480.60042arXiv2009.01504OpenAlexW3158990685MaRDI QIDQ2042761FDOQ2042761

Christophe Profeta

Publication date: 21 July 2021

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Abstract: We study the distribution of the area under the normalized excursion of a spectrally positive stable L{'e}vy process L, as well as the area under its meander, and under L conditioned to stay positive. Our results involve a special case of Wright's function, which may be seen as a generalization of the classic Airy function appearing in similar Brownian's areas.

Full work available at URL: https://arxiv.org/abs/2009.01504

zbMATH Keywords

stable processesmeandernormalized excursion

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Stable stochastic processes (60G52) Self-similar stochastic processes (60G18)

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Cited In (1)

• A large deviation principle for the normalized excursion of an \(\alpha\)-stable Lévy process without negative jumps

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