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A few remarks on the supremum of stable processes

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  • Patie, P.

Abstract

Bernyk etal. [Bernyk, V., Dalang, R.C., Peskir, G., 2008. The law of the supremum of a stable Lvy process with no negative jumps. Ann. Probab. 36, 1777-1789] offer a power series and an integral representation for the density of S1, the maximum up to time 1, of a regular spectrally positive [alpha]-stable Lvy process. They also state the asymptotic behavior for large values of the density. A fact which was proved by Doney [Doney R., 2008. A note on the supremum of a stable process. Stochastics 80(2-3), 151-155], by investigating the integral representation. In this note, we provide the asymptotic expansion of the density and of its successive derivatives from the power series representation. We also show that the density of the positive random variable is the Laplace transform of a function which takes negative values on and thus it is not completely monotone.

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  • Patie, P., 2009. "A few remarks on the supremum of stable processes," Statistics & Probability Letters, Elsevier, vol. 79(8), pages 1125-1128, April.
    • Handle: RePEc:eee:stapro:v:79:y:2009:i:8:p:1125-1128
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    Cited by:

    1. Kuznetsov, A., 2013. "On the density of the supremum of a stable process," Stochastic Processes and their Applications, Elsevier, vol. 123(3), pages 986-1003.

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