The asymptotic behavior of densities related to the supremum of a stable process

DOI10.1214/09-AOP479MaRDI QIDQ2268702zbMATH OpenFDO

Authors Ronald A. Doney, Mladen Savov

Publication date 8 March 2010

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1001.4872

zbMATH Keywords

asymptotic behaviorpassage time densitystable meanderstable processsupremum

Mathematics Subject Classification ID

Distribution theory (60E99) Strong limit theorems (60F15) Stable stochastic processes (60G52) Extreme value theory; extremal stochastic processes (60G70)

Abstract: If $X$ is a stable process of index $alphain(0,2)$ whose L'{e}vy measure has density $c{x}^{-alpha-1}$ on $(0,infty)$, and $S_1=su{p}_{0<tleq1}{X}_t$, it is known that $$ as $xoinfty$ and $$ as $xdownarrow0$. [Here $ho=P(X_1>0)$ and $A$ and $B$ are known constants.] It is also known that $S_1$ has a continuous density, $m$ say. The main point of this note is to show that $$ as $xoinfty$ and $$ as $xdownarrow0$. Similar results are obtained for related densities.

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