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Article Dans Une Revue Statistics and Probability Letters Année : 2015

On the supremum of the spectrally negative stable process with drift

Guillaume Coqueret

Résumé

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.
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Dates et versions

hal-02312226 , version 1 (28-02-2020)

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  • HAL Id : hal-02312226 , version 1

Citer

Guillaume Coqueret. On the supremum of the spectrally negative stable process with drift. Statistics and Probability Letters, 2015, 107, 333-340 p. ⟨hal-02312226⟩

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