A few remarks on the supremum of stable processes

DOI10.1016/J.SPL.2009.01.001zbMATH Open1162.60325OpenAlexW1967373170MaRDI QIDQ1012116FDOQ1012116

Authors: 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

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Mathematics Subject Classification ID

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

Cites Work

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

Cited In (21)

• Predicting the ultimate supremum of a stable Lévy process with no negative jumps
• Mittag-Leffler functions and stable Lévy processes without negative jumps
• On the result of Doney
• The area of a spectrally positive stable process stopped at zero
• A note on supremum of a Kiefer process
• Law of the absorption time of some positive self-similar Markov processes
• Hitting densities for spectrally positive stable processes
• On extrema of stable processes
• Joint density of the stable process and its supremum: regularity and upper bounds
• The asymptotic behavior of densities related to the supremum of a stable process
• Explicit formula for the supremum distribution of a spectrally negative stable process
• On the supremum of the spectrally negative stable process with drift
• A note on the series representation for the density of the supremum of a stable process
• Series expansions for the all-time maximum of \(\alpha\)-stable random walks
• A note on the supremum of a stable process
• Fluctuations of stable processes and exponential functionals of hypergeometric Lévy processes
• The law of the supremum of a stable Lévy process with no negative jumps
• Title not available (Why is that?)
• On the density of the supremum of a stable process
• On Doney's striking factorization of the arc-sine law
• A convergent series representation for the density of the supremum of a stable process

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