On the joint distribution of the supremum functional and its last occurrence for subordinated linear Brownian motion
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DOI: 10.1016/j.spl.2015.07.018
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References listed on IDEAS
- Kim, Panki & Song, Renming & Vondraček, Zoran, 2013. "Potential theory of subordinate Brownian motions with Gaussian components," Stochastic Processes and their Applications, Elsevier, vol. 123(3), pages 764-795.
- Kim, Panki & Song, Renming & Vondracek, Zoran, 2009. "Boundary Harnack principle for subordinate Brownian motions," Stochastic Processes and their Applications, Elsevier, vol. 119(5), pages 1601-1631, May.
- Kwaśnicki, Mateusz & Małecki, Jacek & Ryznar, Michał, 2013. "First passage times for subordinate Brownian motions," Stochastic Processes and their Applications, Elsevier, vol. 123(5), pages 1820-1850.
- Kuznetsov, A., 2013. "On the density of the supremum of a stable process," Stochastic Processes and their Applications, Elsevier, vol. 123(3), pages 986-1003.
- Kim, Panki & Lee, Yunju, 2013. "Oscillation of harmonic functions for subordinate Brownian motion and its applications," Stochastic Processes and their Applications, Elsevier, vol. 123(2), pages 422-445.
- Bertoin, J. & Doney, R. A., 1994. "Cramer's estimate for Lévy processes," Statistics & Probability Letters, Elsevier, vol. 21(5), pages 363-365, December.
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Cited by:
- Stergios B. Fotopoulos & Venkata K. Jandhyala & Alex Paparas, 2021. "Some Properties of the Multivariate Generalized Hyperbolic Laws," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 83(1), pages 187-205, February.
- Stergios B. Fotopoulos & Alex Paparas & Venkata K. Jandhyala, 2020. "Multivariate generalized hyperbolic laws for modeling financial log‐returns: Empirical and theoretical considerations," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 36(5), pages 757-775, September.
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Keywords
Brownian Linear motion with negative drift; Wiener–Hopf factorization; Limit of convolution of exponential mixtures; Laplace transform;All these keywords.
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