It is shown that moments of negative order as well as positive non- integral order of a nonnegative random variable X can be expressed by the Laplace transform of X. Applying these results of certain first passage times gives explicit formulae for moments of suprema of Bessel processes as well as strictly stable Levy processes having no positive jumps.
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Paper provided by University of Bonn, Germany in its series Bonn Econ Discussion Papers with number
bgse10_2002.
Length: 12 Date of creation: May 2002 Date of revision: Handle: RePEc:bon:bonedp:bgse10_2002
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