The law of the supremum of a stable Lévy process with no negative jumps
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Publication:948745
DOI10.1214/07-AOP376zbMath1185.60051arXiv0706.1503MaRDI QIDQ948745
Goran Peskir, Violetta Bernyk, Robert C. Dalang
Publication date: 20 October 2008
Published in: The Annals of Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0706.1503
Wiener-Hopf factorization; Abel equation; first hitting time; Riemann-Liouville fractional differential equation; weakly singular Volterra integral equation; polar kernel; stable Lévy process with no negative jumps; first entry time; running supremum process; spectrally positive
26A33: Fractional derivatives and integrals
60G52: Stable stochastic processes
45D05: Volterra integral equations
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