By Violetta Bernyk and others

Let *X=(X_t)_{t \ge 0}* be a stable L\'evy process of index *\alpha \in (1,2)* with no negative jumps, and let *S_t = \sup_{0 \le s \le t} X_s* denote its running supremum for *t>0*. We show that the density function *f_t* of *S_t* can be characterized as the unique solution... Show more

November 16, 2007

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The Law of the Supremum of a Stable Lévy Process with No Negative Jumps

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