Hitting densities for spectrally positive stable processes
Hitting densities for spectrally positive stable processes
复制标题
光谱正稳定过程的命中密度
DOI：
10.1080/17442508.2010.549232
复制
发表时间：
2010
期刊：
影响因子：
0.9
通讯作者：
T. Simon
中科院分区：
文献类型：
--
作者：
T. Simon
建立了对偶中完全非对称α-稳定Lévy过程的命中时的律乘法恒等式.在谱正的情况下，这个恒等式允许用一个初等参数来计算分数阶矩，并得到密度的级数表示。我们还证明了击中时间是单峰的。以简单的方式，对于跨越正水平的第一次通过时间获得类似的结果。
A multiplicative identity in law connecting the hitting times of completely asymmetric α-stable Lévy processes in duality is established. In the spectrally positive case, this identity allows with an elementary argument to compute fractional moments and to get series representations for the density. We also prove that the hitting times are unimodal as soon as . Analogous results are obtained for the first passage time across a positive level, in a simple manner.