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

DOI10.1214/ECP.V18-2236zbMATH Open1323.60064arXiv1206.5910MaRDI QIDQ742970FDOQ742970

Authors: Zbigniew Michna 

Publication date: 22 September 2014

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

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.

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

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zbMATH Keywords

[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=L%EF%BF%BD%EF%BF%BDvy+process&go=Go L��vy process]stable processsupremum distribution

Mathematics Subject Classification ID

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

Cited In (8)

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

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