Asymptotic behavior of conditional laws and moments of \(\alpha\)-stable random vectors, with application to upcrossing intensities (Q1568294)
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scientific article; zbMATH DE number 1462559
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| English | Asymptotic behavior of conditional laws and moments of \(\alpha\)-stable random vectors, with application to upcrossing intensities |
scientific article; zbMATH DE number 1462559 |
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Asymptotic behavior of conditional laws and moments of \(\alpha\)-stable random vectors, with application to upcrossing intensities (English)
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21 June 2001
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Consider a multivariate stable random variable \((X,Y)\) with univariate component \(Y\). The authors deal with moments of the conditional law of \(X\) given \(Y=y\). Upper bounds are derived and the results are applied to the crossing theory for stable processes. The results require a long technical proof.
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moment
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conditional moment
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conditional probability
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\(\alpha\)-stable distribution
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skewed \(\alpha\)-stable distribution
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crossing
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upcrossing
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upcrossing intensity
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0.7781798839569092
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0.7711244821548462
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0.7679020762443542
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