Extremes of totally skewed stable motion (Q1209697): Difference between revisions

Let \(\{X(t),t\geq 0\}\) be an \(\alpha\)-stable motion totally skewed to the left and with \(\alpha\in[1,2)\). The author proves that \[ P\left\{\sup_{0\leq t\leq h}X(t)>u\right\}\sim C_ \alpha P\{X(h)>u\}\quad\text{as }u\to\infty \] with value \(C_ \alpha\in(1,\infty)\) for \(\alpha\in(1,2)\) and \(C_ 1=1\). He also considers totally skewed stable Ornstein-Uhlenbeck processes.