On extrema of stable processes

DOI10.1214/10-AOP577zbMath1218.60037arXiv1001.0991MaRDI QIDQ533746

Alexey Kuznetsov

Publication date: 6 May 2011

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

Full work available at URL: https://arxiv.org/abs/1001.0991

zbMATH Keywords

Mellin transformLévy processesfunctional equationselliptic functionsWiener-Hopf factorizationstable processesdouble gamma functionsupremumClausen functionq-Pochhammer symbol

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stable stochastic processes (60G52)

Related Items (26)

Spectral heat content for \(\alpha \)-stable processes in \({C^{1,1}}\) open sets ⋮ Fluctuation theory for Lévy processes with completely monotone jumps ⋮ Computing the Barnes \(G\)-function and the gamma function in the entire complex plane ⋮ The first passage time of a stable process conditioned to not overshoot ⋮ On Barnes beta distributions and applications to the maximum distribution of the 2D Gaussian free field ⋮ Bernstein-gamma functions and exponential functionals of Lévy processes ⋮ Suprema of Lévy processes ⋮ On the law of the supremum of Lévy processes ⋮ Multilevel Monte Carlo for exponential Lévy models ⋮ On the Barnes double gamma function ⋮ One-dimensional polymers in random environments: stretching vs. folding ⋮ Fluctuations of stable processes and exponential functionals of hypergeometric Lévy processes ⋮ 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 ⋮ Ground-state representation for fractional Laplacian on half-line ⋮ Small noise asymptotics and first passage times of integrated Ornstein-Uhlenbeck processes driven by \(\alpha\)-stable Lévy processes ⋮ On exit time of stable processes ⋮ On the law of homogeneous stable functionals ⋮ FOURIER AND CAUCHY–STIELTJES TRANSFORMS OF POWER LAWS INCLUDING STABLE DISTRIBUTIONS ⋮ Expected maximum of bridge random walks & Lévy flights ⋮ Spectral analysis of stable processes on the positive half-line ⋮ Exact simulation of the extrema of stable processes ⋮ Spectral theory for one-dimensional (non-symmetric) stable processes killed upon hitting the origin ⋮ Density behaviour related to Lévy processes ⋮ A review of conjectured laws of total mass of Bacry–Muzy GMC measures on the interval and circle and their applications ⋮ On Doney's striking factorization of the arc-sine law

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