Potentials of stable processes
Probability
2021-01-22 v1
Abstract
For a stable process, we give an explicit formula for the potential measure of the process killed outside a bounded interval and the joint law of the overshoot, undershoot and undershoot from the maximum at exit from a bounded interval. We obtain the equivalent quantities for a stable process reflected in its infimum. The results are obtained by exploiting a simple connection with the Lamperti representation and exit problems of stable processes.
Cite
@article{arxiv.1312.1222,
title = {Potentials of stable processes},
author = {A. E. Kyprianou and A. R. Watson},
journal= {arXiv preprint arXiv:1312.1222},
year = {2021}
}
Comments
10 pages