On Wiener-Hopf factorisation and the distribution of extrema for certain stable processes (Q1094757): Difference between revisions

Let \(\{X(t),t>0\}\) be a stable process with index \(\alpha\), \(0<\alpha <2\), \(\alpha\neq 1\), such that \(P\{X(1)>0\}=\ell /\alpha -k\), where \(\ell\) and k are integers. Explicit formulas for a transformation of the Laplace transformation of \(\sup_{0\leq t\leq 1}X(t)\) and the Wiener-Hopf factors of \(\{\) X(t),t\(\geq 0\}\) are obtained. These formulas are expressed in terms of ratios of a function like \[ \prod^{m}_{r=0}(\theta +\exp \{i\epsilon (m-2r)\pi \}) \] with real \(\epsilon\) and complex \(\theta\).