On the supremum of the spectrally negative stable process with drift

DOI10.1016/J.SPL.2015.09.012zbMATH Open1356.60078OpenAlexW4293397338MaRDI QIDQ900970FDOQ900970

Authors: Guillaume Coqueret 

Publication date: 23 December 2015

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2015.09.012

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zbMATH Keywords

running supremumseries representationspectrally negative stable process

Mathematics Subject Classification ID

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

Cites Work

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Cited In (5)

• Fluctuation theory for one-sided Lévy processes with a matrix-exponential time horizon
• Cramér's estimate for stable processes with power drift
• Fluctuation theory for Lévy processes with completely monotone jumps
• On the result of Doney
• Explicit formula for the supremum distribution of a spectrally negative stable process

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