Law of two-sided exit by a spectrally positive strictly stable process

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:130

Article

Chi, Zhiyi¹ 

[1] Univ Connecticut, Dept Stat, Storrs, CT 06269 USA

关键词: Two-sided exit problem;    Levy process;    stable;    spectrally positive;    Mittag-Leffler;   

DOI  :  10.1016/j.spa.2019.11.006

来源: Elsevier

【 摘 要 】

For a spectrally positive strictly stable process with index in (1, 2), we obtain (i) the sub-probability density of its first exit time from an interval by hitting the interval's lower end before jumping over its upper end, and (ii) the joint distribution of the time, undershoot, and jump of the process when it makes the first exit the other way around. The density of the exit time is expressed in terms of the roots of a Mittag-Leffler function. Some theoretical applications of the results are given. (C) 2019 Elsevier B.V. All rights reserved.

【 授权许可】

Free