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http://cimat.repositorioinstitucional.mx/jspui/handle/1008/606| Fluctuations of Stable Processes and Exponential Functionals of Hypergeometric Lévy Processes | |
| JUAN CARLOS PARDO MILLAN | |
| Acceso Abierto | |
| Atribución-NoComercial | |
| Procesos de Levy | |
| We study the distribution and various properties of exponential functionals of hypergeometric Levy processes. We derive an explicit formula for the Mellin transform of the exponential functional and give both convergent and asymptotic series expansions of its probability density function. As applications we present a new proof of some of the results on the density of the supremum of a stable process, which were recently obtained in [25] and [23]. We also derive some new results related to (i) the entrance law of the stable process conditioned to stay positive, (ii) the entrance law of the excursion measure of the stable process re ected at its past in mum and (iii) the entrance law and the last passage time of the radial part of n-dimensional symmetric stable process. | |
| Centro de Investigación en Matemáticas AC | |
| 01-12-2010 | |
| Reporte | |
| Inglés | |
| Investigadores | |
| PROCESOS DE MARKOV | |
| Versión publicada | |
| publishedVersion - Versión publicada | |
| Aparece en las colecciones: | Reportes Técnicos - Probabilidad y Estadística |
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| I-10-09.pdf | 564.29 kB | Adobe PDF | Visualizar/Abrir |