The area under a spectrally positive stable excursion and other related processes
Probability
2020-09-04 v1
Abstract
We study the distribution of the area under the normalized excursion of a spectrally positive stable L{\'e}vy process L, as well as the area under its meander, and under L conditioned to stay positive. Our results involve a special case of Wright's function, which may be seen as a generalization of the classic Airy function appearing in similar Brownian's areas.
Keywords
Cite
@article{arxiv.2009.01504,
title = {The area under a spectrally positive stable excursion and other related processes},
author = {Christophe Profeta},
journal= {arXiv preprint arXiv:2009.01504},
year = {2020}
}