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Formula for the supremum distribution of a spectrally positive [alpha]-stable Lévy process

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  • Michna, Zbigniew

Abstract

In this article we derive formula for probability where Z={Z(t)} is a spectrally positive [alpha]-stable Lévy process with 0

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  • Michna, Zbigniew, 2011. "Formula for the supremum distribution of a spectrally positive [alpha]-stable Lévy process," Statistics & Probability Letters, Elsevier, vol. 81(2), pages 231-235, February.
    • Handle: RePEc:eee:stapro:v:81:y:2011:i:2:p:231-235
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    References listed on IDEAS

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    1. Michna, Zbigniew, 2008. "Asymptotic behavior of the supremum tail probability for anomalous diffusions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(2), pages 413-417.
    2. Furrer, Hansjorg & Michna, Zbigniew & Weron, Aleksander, 1997. "Stable Lévy motion approximation in collective risk theory," Insurance: Mathematics and Economics, Elsevier, vol. 20(2), pages 97-114, September.
    3. Braverman, Michael, 1997. "Suprema and sojourn times of Lévy processes with exponential tails," Stochastic Processes and their Applications, Elsevier, vol. 68(2), pages 265-283, June.
    4. Willekens, Eric, 1987. "On the supremum of an infinitely divisible process," Stochastic Processes and their Applications, Elsevier, vol. 26, pages 173-175.
    5. Dickson, David C. M. & Waters, Howard R., 1993. "Gamma Processes and Finite Time Survival Probabilities," ASTIN Bulletin, Cambridge University Press, vol. 23(2), pages 259-272, November.
    6. Berman, Simeon M., 1986. "The supremum of a process with stationary independent and symmetric increments," Stochastic Processes and their Applications, Elsevier, vol. 23(2), pages 281-290, December.
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    Cited by:

    1. Coqueret, Guillaume, 2015. "On the supremum of the spectrally negative stable process with drift," Statistics & Probability Letters, Elsevier, vol. 107(C), pages 333-340.

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