Suprema of L\'{e}vy processes
Probability
2013-07-09 v3
Abstract
In this paper we study the supremum functional , where , , is a one-dimensional L\'{e}vy process. Under very mild assumptions we provide a simple, uniform estimate of the cumulative distribution function of . In the symmetric case we find an integral representation of the Laplace transform of the distribution of if the L\'{e}vy-Khintchin exponent of the process increases on .
Keywords
Cite
@article{arxiv.1103.0935,
title = {Suprema of L\'{e}vy processes},
author = {Mateusz Kwaśnicki and Jacek Małecki and Michał Ryznar},
journal= {arXiv preprint arXiv:1103.0935},
year = {2013}
}
Comments
Published in at http://dx.doi.org/10.1214/11-AOP719 the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org)