Service interruption on Monday 11 July from 12:30 to 13:00: all the sites of the CCSD (HAL, Epiciences, SciencesConf, AureHAL) will be inaccessible (network hardware connection).
Skip to Main content Skip to Navigation
Preprints, Working Papers, ...

On exit time of stable processes

Abstract : We study the exit time $\tau=\tau_{(0,\infty)}$ for 1-dimensional strictly stable processes and express its Laplace transform at $t^\alpha$ as the Laplace transform of a positive random variable with explicit density. Consequently, $\tau$ satisfies some multiplicative convolution relations. For some stable processes, e.g. for the symmetric $\frac23$-stable process, explicit formulas for the Laplace transform and the density of $\tau$ are obtained as an application.
Document type :
Preprints, Working Papers, ...
Complete list of metadata

Cited literature [18 references]  Display  Hide  Download

https://hal.archives-ouvertes.fr/hal-00605083
Contributor : Piotr Graczyk Connect in order to contact the contributor
Submitted on : Thursday, June 30, 2011 - 3:08:53 PM
Last modification on : Wednesday, October 20, 2021 - 3:18:39 AM
Long-term archiving on: : Saturday, October 1, 2011 - 2:27:23 AM

Files

PGTJ2011.pdf
Files produced by the author(s)

Identifiers

  • HAL Id : hal-00605083, version 1

Collections

Citation

Piotr Graczyk, Tomasz Jakubowski. On exit time of stable processes. 2011. ⟨hal-00605083⟩

Share

Metrics

Record views

128

Files downloads

83