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Article Dans Une Revue Electronic Journal of Probability Année : 2021

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.
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Dates et versions

hal-02928052 , version 1 (02-09-2020)
hal-02928052 , version 2 (27-04-2021)

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Christophe Profeta. The area under a spectrally positive stable excursion and other related processes. Electronic Journal of Probability, 2021, 26, pp.1-21. ⟨hal-02928052v2⟩
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