On the density of the supremum of a stable process (Q1940240): Difference between revisions

The author is interested in the density function of the supremum of a strictly stable Lévy process. He first shows the existence of an uncountable set of values of the self-similarity parameter and of a fat set of values of the positivity parameter, where the series representation for the density that he had obtained previously in a paper with \textit{F. Hubalek} [Electron. Commun. Probab. 16, 84--95 (2011; Zbl 1231.60040)] does not converge absolutely. He then gives a closed expression of the Mellin transform of the density when the self-similar parameter is rational, in terms of the dilogarithm function, \(q\)-Pochhammer symbols, and the Gamma function. The paper ends with numerical experiments and some open problems related to the Diophantine approximation.