The distribution of the supremum for spectrally asymmetric Lévy processes
نویسندگان
چکیده
منابع مشابه
The distribution of the supremum for spectrally asymmetric Lévy processes
In this article we derive formulas for the probability IP(supt≤T X(t) > u), T > 0 and IP(supt<∞X(t) > u) where X is a spectrally positive Lévy process with infinite variation. The formulas are generalizations of the well-known Takács formulas for stochastic processes with non-negative and interchangeable increments. Moreover, we find the joint distribution of inft≤T Y (t) and Y (T ) where Y is ...
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ژورنال
عنوان ژورنال: Electronic Communications in Probability
سال: 2015
ISSN: 1083-589X
DOI: 10.1214/ecp.v20-2999