On the supremum of the spectrally negative stable process with drift

Guillaume Coqueret (1)

1 MRM - Montpellier Research in Management

We provide a series representation for the cumulative distribution of the supremum of the spectrally negative stable process with drift. We also provide two approximation methods for small and large arguments of this function. Numerical examples are detailed and a financial application is also discussed.

Mots clés: Spectrally negative stable process; Running supremum; Series representation

Domaines: Mathématiques [math]

Guillaume Coqueret. On the supremum of the spectrally negative stable process with drift. Statistics and Probability Letters, 2015, 107, pp.333-340. ⟨10.1016/j.spl.2015.09.012⟩. ⟨hal-02024855⟩