Formula for the supremum distribution of a spectrally positive -stable Lévy process

DOI10.1016/J.SPL.2010.11.014MaRDI QIDQ625005zbMATH OpenOpenAlexFDO

Authors Zbigniew Michna

Publication date 11 February 2011

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1104.1976

zbMATH Keywords

finite time ruin probabilitydistribution of the supremum of a stochastic process\(\alpha\)-stable Lévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Extreme value theory; extremal stochastic processes (60G70) Stable stochastic processes (60G52)

Abstract: In this article we derive formula for probability $Prob(su{p}_{tleqT}(X(t)-ct)>u)$ where $X=X(t)$ is a spectrally positive L'evy process and $cinRL$. As an example we investigate the inverse Gaussian L'evy process.

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Cites work

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Cited in

(6)

• Short proofs in extrema of spectrally one sided Lévy processes
• Space–Time Duality for Fractional Diffusion
• On the supremum of the spectrally negative stable process with drift
• Finite-time survival probability and credit default swaps pricing under geometric Lévy markets
• Ruin probabilities for two collaborating insurance companies
• The class of distributions associated with the generalized Pollaczek-Khinchine formula

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