A few remarks on the supremum of stable processes

DOI10.1016/J.SPL.2009.01.001MaRDI QIDQ1012116zbMATH OpenOpenAlexFDO

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

Mathematics Subject Classification ID

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

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Cites work

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• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• scientific article; zbMATH DE number 3211164 (Why is no real title available?)
• A note on the supremum of a stable process
• 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

Cited in

(21)

• On the density of the supremum of a stable process
• Fluctuations of stable processes and exponential functionals of hypergeometric Lévy processes
• On the result of Doney
• Hitting densities for spectrally positive stable processes
• Predicting the ultimate supremum of a stable Lévy process with no negative jumps
• Mittag-Leffler functions and stable Lévy processes without negative jumps
• A note on supremum of a Kiefer process
• Explicit formula for the supremum distribution of a spectrally negative stable process
• The law of the supremum of a stable Lévy process with no negative jumps
• A convergent series representation for the density of the supremum of a stable process
• On the supremum of the spectrally negative stable process with drift
• scientific article; zbMATH DE number 3860071 (Why is no real title available?)
• On Doney's striking factorization of the arc-sine law
• On extrema of stable processes
• A note on the supremum of a stable process
• Law of the absorption time of some positive self-similar Markov processes
• The area of a spectrally positive stable process stopped at zero
• A note on the series representation for the density of the supremum of a stable process
• 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
• Series expansions for the all-time maximum of \(\alpha\)-stable random walks

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