A few remarks on the supremum of stable processes

DOI10.1016/j.spl.2009.01.001zbMath1162.60325OpenAlexW1967373170MaRDI QIDQ1012116

Pierre Patie

Publication date: 14 April 2009

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2009.01.001

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Generalized hypergeometric series, ({}_pF_q) (33C20) Stable stochastic processes (60G52)

Related Items (7)

Fluctuations of stable processes and exponential functionals of hypergeometric Lévy processes ⋮ Law of the absorption time of some positive self-similar Markov processes ⋮ Predicting the ultimate supremum of a stable Lévy process with no negative jumps ⋮ Hitting densities for spectrally positive stable processes ⋮ On extrema of stable processes ⋮ Mittag-Leffler functions and stable Lévy processes without negative jumps ⋮ On Doney's striking factorization of the arc-sine law

Cites Work

• The law of the supremum of a stable Lévy process with no negative jumps
• A note on the supremum of a stable process
• Maxima of sums of random variables and suprema of stable processes
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