Unimodality of hitting times for stable processes
Probability
2013-11-08 v2
Abstract
We show that the hitting times for points of real stable L\'evy processes () are unimodal random variables. The argument relies on strong unimodality and several recent multiplicative identities in law. In the symmetric case we use a factorization of Yano et al., whereas in the completely asymmetric case we apply an identity of the second author. The method extends to the general case thanks to a fractional moment evaluation due to Kuznetsov et al.
Cite
@article{arxiv.1309.5321,
title = {Unimodality of hitting times for stable processes},
author = {Julien Letemplier and Thomas Simon},
journal= {arXiv preprint arXiv:1309.5321},
year = {2013}
}