Hitting densities for spectrally positive stable processes

Thomas Simon (1)

1 LPP - Laboratoire Paul Painlevé - UMR 8524

A multiplicative identity in law connecting the hitting times of completely asymmetric $\alpha-$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 $\alpha\le 3/2.$ Analogous results are obtained, in a much simplified manner, for the first passage time across a positive level.

Mots clés: Exit time; Hitting time; Mellin transform; Running supremum; Series representation; Stable Lévy processes; Unimodality

Domaines: Probabilités [math.PR]

Thomas Simon. Hitting densities for spectrally positive stable processes. 2010. ⟨hal-00454031⟩