The area under a spectrally positive stable excursion and other related processes
Résumé
We study the distribution of the area under the normalized excursion of a spectrally positive stable Lévy process L, as well as the area under its meander, and under L conditioned to stay positive. Our results involve a special case of Wright's function, which may be seen as a generalization of the classic Airy function appearing in similar Brownian's areas.
Domaines
Probabilités [math.PR]| Origine | Fichiers produits par l'(les) auteur(s) |
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