English

Suprema of L\'{e}vy processes

Probability 2013-07-09 v3

Abstract

In this paper we study the supremum functional Mt=sup0stXsM_t=\sup_{0\le s\le t}X_s, where XtX_t, t0t\ge0, is a one-dimensional L\'{e}vy process. Under very mild assumptions we provide a simple, uniform estimate of the cumulative distribution function of MtM_t. In the symmetric case we find an integral representation of the Laplace transform of the distribution of MtM_t if the L\'{e}vy-Khintchin exponent of the process increases on (0,)(0,\infty).

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)

R2 v1 2026-06-21T17:35:17.035Z