Explicit formula for the supremum distribution of a spectrally negative stable process

DOI10.1214/ECP.V18-2236MaRDI QIDQ742970zbMATH OpenFDO

Authors Zbigniew Michna

Publication date 22 September 2014

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

Full work available at URL https://arxiv.org/abs/1206.5910

zbMATH Keywords

Lévy processstable processsupremum distribution

Mathematics Subject Classification ID

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

Abstract: In this article we get simple explicit formulas for $Expsu{p}_{sleqt}X(s)$ where $X$ is a spectrally positive or negative L'evy process with infinite variation. As a consequence we derive a generalization of the well-known formula for the supremum distribution of Wiener process that is we obtain $Prob(su{p}_{sleqt}{Z}_{alpha}(s)gequ)=alphaProb(Z_{alpha}(t)gequ)$ for $ugeq0$ where $Z_{alpha}$ is a spectrally negative L'evy process with $1<alphaleq2$ which also stems from Kendall's identity for the first crossing time. Our proof uses a formula for the supremum distribution of a spectrally positive L'evy process which follows easily from the elementary Seals formula.

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(11)

• On Wiener-Hopf factorisation and the distribution of extrema for certain stable processes
• On an explicit formula for the distribution of the supremum
• Optimal estimation of the supremum and occupation times of a self-similar Lévy process
• The distribution of the supremum for spectrally asymmetric Lévy processes
• Fluctuation theory for Lévy processes with completely monotone jumps
• A distributional equality for suprema of spectrally positive Lévy processes
• The area of a spectrally positive stable process stopped at zero
• Ruin probabilities for two collaborating insurance companies
• Exact simulation of the extrema of stable processes
• Formula for the supremum distribution of a spectrally positive \(\alpha \)-stable Lévy process
• On the supremum of the spectrally negative stable process with drift

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