On the density of the supremum of a stable process

DOI10.1016/j.spa.2012.11.001zbMath1277.60084arXiv1112.4208OpenAlexW2096807941MaRDI QIDQ1940240

Alexey Kuznetsov

Publication date: 6 March 2013

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1112.4208

zbMATH Keywords

Diophantine approximationstable processsupremumspecial function

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Stable stochastic processes (60G52)

Related Items (10)

Fluctuation theory for Lévy processes with completely monotone jumps ⋮ Bernstein-gamma functions and exponential functionals of Lévy processes ⋮ Unimodality of Hitting Times for Stable Processes ⋮ Survival probability of random walks and Lévy flights on a semi-infinite line ⋮ On the joint distribution of the supremum functional and its last occurrence for subordinated linear Brownian motion ⋮ On the supremum of the spectrally negative stable process with drift ⋮ On the law of homogeneous stable functionals ⋮ The entrance law of the excursion measure of the reflected process for some classes of Lévy processes ⋮ Exact simulation of the extrema of stable processes ⋮ Density behaviour related to Lévy processes

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