• The area of a spectrally positive stable process stopped at zero

The area of a spectrally positive stable process stopped at zero

DOI: https://doi.org/10.19195/0208-4147.38.1.2
Julien Letemplier
Google Scholar Julien Letemplier
Thomas Simon
Google Scholar Thomas Simon
Publikacja:

Abstrakt

A multiplicative identity in law for the area of a spectrally positive Lévy ∝-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.

Pobierz artykuł PDF

Zamierzasz pobrać artykuł darmowy. Tutaj znajdziesz informacje o zasadach pobierania darmowych artykułów z bazy.