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

DOI10.1214/ECP.v16-1601zbMath1231.60040arXiv1010.3603MaRDI QIDQ638247

Alexey Kuznetsov, Friedrich Hubalek

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

zbMATH Keywords

Mellin transformcontinued fractionsstable processLiouville numbersdouble Gamma function

Mathematics Subject Classification ID

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

Related Items (8)

Fluctuation theory for Lévy processes with completely monotone jumps ⋮ Suprema of Lévy processes ⋮ On Weyl products and uniform distribution modulo one ⋮ Fluctuations of stable processes and exponential functionals of hypergeometric Lévy processes ⋮ FOURIER AND CAUCHY–STIELTJES TRANSFORMS OF POWER LAWS INCLUDING STABLE DISTRIBUTIONS ⋮ Short proofs in extrema of spectrally one sided Lévy processes ⋮ Spectral analysis of stable processes on the positive half-line ⋮ The entrance law of the excursion measure of the reflected process for some classes of Lévy processes

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