On extrema of stable processes

Clausen function double gamma function elliptic functions functional equations Lévy processes Mellin transform q-Pochhammer symbol stable processes supremum Wiener-Hopf factorization

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stable stochastic processes (60G52)

Abstract: We study the Wiener--Hopf factorization and the distribution of extrema for general stable processes. By connecting the Wiener--Hopf factors with a certain elliptic-like function we are able to obtain many explicit and general results, such as infinite series representations and asymptotic expansions for the density of supremum, explicit expressions for the Wiener--Hopf factors and the Mellin transform of the supremum, quasi-periodicity and functional identities for these functions, finite product representations in some special cases and identities in distribution satisfied by the supremum functional.

Review text

Let \(\{X_t: t\geq 0\}\) be an \(\alpha\)-stable Lévy process with skewness parameter \(\beta\). Independently of \(X_t\), let \(e\) be an exponential random variable with mean \(1\). Denote by \(S_t=\sup_{0\leq u\leq t} X_u\) the supremum of the process \(X_t\) up to time \(t\). The main object of study in the paper is the Wiener-Hopf factor \[ \phi(z)=\mathbb E[e^{-zS_e}], \qquad \text{Re}(z)\geq 0. \] In Section 2 the author establishes a connection between \(\phi\) and a certain elliptic-type function \(F\) and studies the properties of the latter. In Section 3, the author derives an explicit representation of \(\phi\) in terms of the Clausen function \(\text{Cl}(\theta)=\sum_{n=1}^{\infty} \frac {\sin (n\theta)}{n^2}\) when \(\alpha\) is rational. In Section 4 the author expresses \(\phi\) in terms of the \(q\)-Pochhammer symbol and provides an explicit formula for \(\phi\) in terms of the double \(\Gamma\)-function which is valid for general \(\alpha\). The analytic structure (poles, branching points, quasi-periodicity) of the function \(\phi\) is described. In Section 5, the author provides a series representation of \(\phi\) with very tricky convergence properties and establishes several functional equations satisfied by \(\phi\). The convergence of the series is intimately linked with the degree to which \(\alpha\) can be approximated by rational numbers. In Section 6, the Mellin transform \(M(w)=\mathbb E[S_1^{w-1}]\) of the supremum \(S_1\) is studied. The author establishes functional equations satisfied by \(M\), shows that \(M\) is quasi-periodic and expresses it in terms of the double \(\Gamma\)-function. Distributional identities linking the supremum of the \(\alpha\)-stable process to the supremum of the \(1/\alpha\)-stable process are presented. In Section 7, several asymptotic series representations of the density \(p(x)\) of \(S_1\) as \(x\uparrow+\infty\) and \(x\downarrow 0\) are established.

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