On extrema of stable processes
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Publication:533746
DOI10.1214/10-AOP577zbMATH Open1218.60037arXiv1001.0991MaRDI QIDQ533746FDOQ533746
Publication date: 6 May 2011
Published in: The Annals of Probability (Search for Journal in Brave)
Abstract: We study the Wiener--Hopf factorization and the distribution of extrema for general stable processes. By connecting the Wiener--Hopf factors with a certain elliptic-like function we are able to obtain many explicit and general results, such as infinite series representations and asymptotic expansions for the density of supremum, explicit expressions for the Wiener--Hopf factors and the Mellin transform of the supremum, quasi-periodicity and functional identities for these functions, finite product representations in some special cases and identities in distribution satisfied by the supremum functional.
Full work available at URL: https://arxiv.org/abs/1001.0991
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