A convergent series representation for the density of the supremum of a stable process
| Autor: | Hubalek, Friedrich, Kuznetsov, Alexey |
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| Rok vydání: | 2010 |
| Předmět: | |
| Zdroj: | Electron. Commun. Probab., 16, no. 8, 84-95, 2011 |
| Druh dokumentu: | Working Paper |
| DOI: | 10.1214/ECP.v16-1601 |
| Popis: | We study the density of the supremum of a strictly stable L\'evy process. We prove that for almost all values of the index $\alpha$ -- except for a dense set of Lebesgue measure zero -- the asymptotic series which were obtained in A. Kuznetsov (2010) "On extrema of stable processes" are in fact absolutely convergent series representations for the density of the supremum. Comment: 12 pages |
| Databáze: | arXiv |
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