Suprema of Lévy processes
By Mateusz Kwaśnicki, J. Małecki, M. Ryznar. 2011
50 citations recorded by the source corpus.
In this paper we study the supremum functional Mt=sup0≤s≤tXs, where Xt, t≥0, is a one-dimensional Levy process. Under very mild assumptions we provide a simple, uniform estimate of the cumulative distribution function of Mt. In the symmetric case we find an integral representation of the Laplace transform of the distribution of Mt if the Levy–Khintchin exponent of the process increases on (0,∞).
Subfields: Finance, Management Science and Operations Research, Mathematical Physics
View Paper: https://www.semanticscholar.org/paper/1b56c93bc41d236e38481fb11c7789c0bcd596c2
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Finance
- Krzysztof Bogdan
- M. Ryznar
- T. Grzywny
- Xavier Ros-Oton
- Renming Song
- Panki Kim
- Tadeusz Kulczycki
- Paweł Sztonyk
In Management Science and Operations Research
In Mathematical Physics
- M. Ryznar
- T. Grzywny
- Krzysztof Bogdan
- Xavier Ros-Oton
- Tomasz Jakubowski
- Paweł Sztonyk
- Renming Song
- Zhen-Qing Chen
Citations in the corpus
- Barriers, exit time and survival probability for unimodal Lévy processes (2013, background): “For clarity, [37] makes the assumption that φ is unbounded, but it is not necessary for the result.”