On extrema of stable processes
Kuznetsov, Alexey
Ann. Probab., Tome 39 (2011) no. 1, p. 1027-1060 / Harvested from Project Euclid
We study the Wiener–Hopf factorization and the distribution of extrema for general stable processes. By connecting the Wiener–Hopf factors with a certain elliptic-like function we are able to obtain many explicit and general results, such as infinite series representations and asymptotic expansions for the density of supremum, explicit expressions for the Wiener–Hopf factors and the Mellin transform of the supremum, quasi-periodicity and functional identities for these functions, finite product representations in some special cases and identities in distribution satisfied by the supremum functional.
Publié le : 2011-05-15
Classification:  Stable processes,  supremum,  Wiener–Hopf factorization,  Mellin transform,  functional equations,  elliptic functions,  double Gamma function,  q-Pochhammer symbol,  Clausen function,  60G52
@article{1300281731,
     author = {Kuznetsov, Alexey},
     title = {On extrema of stable processes},
     journal = {Ann. Probab.},
     volume = {39},
     number = {1},
     year = {2011},
     pages = { 1027-1060},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1300281731}
}
Kuznetsov, Alexey. On extrema of stable processes. Ann. Probab., Tome 39 (2011) no. 1, pp.  1027-1060. http://gdmltest.u-ga.fr/item/1300281731/