Wyniki wyszukiwania - BazTech

Ograniczanie wyników

Znaleziono wyników: 1

Liczba wyników na stronie

Wyniki wyszukiwania

Wyszukiwano:
w słowach kluczowych: stable Lévy process

Sortuj według:

Ogranicz wyniki do:

The area of a spectrally positive stable process stopped at zero

Letemplier J., Simon T.

Probability and Mathematical Statistics

2018

Vol. 38, Fasc. 1

27--37

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.