Please use this identifier to cite or link to this item: 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
Appears in Collections:Reportes Técnicos - Probabilidad y Estadística

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