The area of a spectrally positive stable process stopped at zero

• Autorzy: Letemplier J. , Simon T.

Identyfikatory

DOI

10.19195/0208-4147.38.1.2

• Języki publikacji: EN

Abstrakty

EN

A multiplicative identity in law for the area of a spectrally positive Lévy α-stable process stopped at zero is established. Extending that of Lefebvre for Brownian motion, it involves an inverse beta random variable and the square of a positive stable random variable. This simple identity makes it possible to study precisely the behaviour of the density at zero, which is Fréchet-like.

Słowa kluczowe

EN

hitting time; integrated process; stable Lévy process; tail asymptotics

• Wydawca: Wrocław University of Science and Technology
• Czasopismo: Probability and Mathematical Statistics
• Rocznik: 2018
• Tom: Vol. 38, Fasc. 1
• Strony: 27--37
• Opis fizyczny: Bibliogr. 17 poz.

Twórcy

autor

Letemplier J.

• Laboratoire Paul Painlevé, Université de Lille 1, F-59655 Villeneuve d’Ascq Cedex

autor

Simon T.

• Laboratoire Paul Painlevé, Université de Lille 1, F-59655 Villeneuve d’Ascq Cedex

Bibliografia

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Uwagi

Opracowanie rekordu w ramach umowy 509/P-DUN/2018 ze środków MNiSW przeznaczonych na działalność upowszechniającą naukę (2019).