Formula for the supremum distribution of a spectrally positive L\'evy process
Probability
2012-05-30 v6
Abstract
In this article we derive formula for probability where is a spectrally positive L\'evy process and . As an example we investigate the inverse Gaussian L\'evy process.
Keywords
Cite
@article{arxiv.1104.1976,
title = {Formula for the supremum distribution of a spectrally positive L\'evy process},
author = {Zbigniew Michna},
journal= {arXiv preprint arXiv:1104.1976},
year = {2012}
}