English

Unimodality of hitting times for stable processes

Probability 2013-11-08 v2

Abstract

We show that the hitting times for points of real α\alpha-stable L\'evy processes (1<α21<\alpha\le 2) 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.

Keywords

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}
}