On the joint distribution of the supremum functional and its last occurrence for subordinated linear Brownian motion
From MaRDI portal
Publication:900549
DOI10.1016/j.spl.2015.07.018zbMath1329.60290OpenAlexW959290082MaRDI QIDQ900549
Jun Wang, Venkata K. Jandhyala, Stergios B. Fotopoulos
Publication date: 22 December 2015
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2015.07.018
Laplace transformconvolutionWiener-Hopf factorizationLévy processbivariate supremumexponential mixturessubordinated linear Brownian motion
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (2)
Fluctuation theory for Lévy processes with completely monotone jumps ⋮ Some properties of the multivariate generalized hyperbolic laws
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Suprema of Lévy processes
- On extrema of stable processes
- The law of the supremum of a stable Lévy process with no negative jumps
- Boundary Harnack principle for subordinate Brownian motions
- The law of the hitting times to points by a stable Lévy process with no negative jumps
- Cramér's estimate for Lévy processes
- Oscillation of harmonic functions for subordinate Brownian motion and its applications
- Fluctuations of stable processes and exponential functionals of hypergeometric Lévy processes
- Potential theory of subordinate Brownian motions with Gaussian components
- On the density of the supremum of a stable process
- First passage times for subordinate Brownian motions
- Wiener-Hopf factorization and distribution of extrema for a family of Lévy processes
- Subordinated Brownian motion: last time the process reaches its supremum
- Spectral analysis of subordinate Brownian motions on the half-line
- On the Distribution of the Supremum Functional for Processes with Stationary Independent Increments
- On the First Passage time for Brownian Motion Subordinated by a Lévy Process
- Bernstein functions. Theory and applications
This page was built for publication: On the joint distribution of the supremum functional and its last occurrence for subordinated linear Brownian motion
