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2011 A convergent series representation for the density of the supremum of a stable process
Friedrich Hubalek, Alexey Kuznetsov
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Electron. Commun. Probab. 16: 84-95 (2011). DOI: 10.1214/ECP.v16-1601

Abstract

We study the density of the supremum of a strictly stable Levy process. We prove that for almost all values of the index $\alpha$ - except for a dense set of Lebesgue measure zero - the asymptotic series which were obtained in Kuznetsov (2010) "On extrema of stable processes" are in fact absolutely convergent series representations for the density of the supremum.

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Friedrich Hubalek. Alexey Kuznetsov. "A convergent series representation for the density of the supremum of a stable process." Electron. Commun. Probab. 16 84 - 95, 2011. https://doi.org/10.1214/ECP.v16-1601

Information

Accepted: 23 January 2011; Published: 2011
First available in Project Euclid: 7 June 2016

zbMATH: 1231.60040
MathSciNet: MR2763530
Digital Object Identifier: 10.1214/ECP.v16-1601

Subjects:
Primary: 60G52

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