Let \(\{X(t),t\geq 0\}\) be an \(\alpha\)-stable motion totally skewed to the left and with \(\alpha\in[1,2)\). The author proves that \[ P\left\{\sup_{0\leq t\leq h}X(t)>u\right\}\sim C_ \alpha P\{X(h)>u\}\quad\text{as }u\to\infty \] with value \(C_ \alpha\in(1,\infty)\) for \(\alpha\in(1,2)\) and \(C_ 1=1\). He also considers totally skewed stable Ornstein-Uhlenbeck processes.
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Cites work
- Extrema of skewed stable processes
- Extremes of moving averages of stable processes
- scientific article; zbMATH DE number 3947305 (Why is no real title available?)
- scientific article; zbMATH DE number 3349105 (Why is no real title available?)
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- On extremal theory for stationary processes
- On the general law of iterated logarithm with application to selfsimilar processes and to Gaussian processes in \(\mathbb{R}{}^ n\) and Hilbert space
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Cited in
(10)- Extrema of skewed stable processes
- Remarks on suprema of Lévy processes with light tailes
- Extremes for non-anticipating moving averages of totally skewed -stable motion
- Extremes of totally skewed \(\alpha \)-stable processes
- On sampling of stationary increment processes
- Extremes and upcrossing intensities for \(P\)-differentiable stationary processes.
- Suprema of compound Poisson processes with light tails.
- Max-stable processes and stationary systems of Lévy particles
- On the Asymptotic Behaviour of Superexponential Lévy Processes
- Formula for the supremum distribution of a spectrally positive \(\alpha \)-stable Lévy process
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