A convergent series representation for the density of the supremum of a stable process

DOI10.1214/ECP.V16-1601MaRDI QIDQ638247zbMATH OpenFDO

Authors Friedrich Hubalek, Alexey Kuznetsov

Publication date 9 September 2011

Published in Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1010.3603, http://www.emis.de/journals/EJP-ECP/_ejpecp/ECP/viewarticle83a2.html

zbMATH Keywords

continued fractionsdouble Gamma functionLiouville numbersMellin transformstable process

Mathematics Subject Classification ID

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

Abstract: We study the density of the supremum of a strictly stable L'evy process. We prove that for almost all values of the index $alpha$ -- except for a dense set of Lebesgue measure zero -- the asymptotic series which were obtained in A. Kuznetsov (2010) "On extrema of stable processes" are in fact absolutely convergent series representations for the density of the supremum.

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Cited in

(18)

• Spectral analysis of stable processes on the positive half-line
• Fluctuations of stable processes and exponential functionals of hypergeometric Lévy processes
• On the density of the supremum of a stable process
• Short proofs in extrema of spectrally one sided Lévy processes
• The entrance law of the excursion measure of the reflected process for some classes of Lévy processes
• The asymptotic behavior of densities related to the supremum of a stable process
• On Weyl products and uniform distribution modulo one
• Fluctuation theory for Lévy processes with completely monotone jumps
• A note on the supremum of a stable process
• Suprema of Lévy processes
• Fourier and Cauchy-Stieltjes transforms of power laws including stable distributions
• Joint density of the stable process and its supremum: regularity and upper bounds
• Extending the Meijer G-function
• Suprema of Lévy processes with completely monotone jumps: spectral-theoretic approach
• Simulating signed mixtures
• Recent developments in exponential functionals of Lévy processes
• A note on the series representation for the density of the supremum of a stable process
• The law of the supremum of a stable Lévy process with no negative jumps

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