The area under a spectrally positive stable excursion and other related processes - Archive ouverte HAL Accéder directement au contenu
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.
Fichier principal
Vignette du fichier
ExcursionStable2.pdf (244.56 Ko) Télécharger le fichier
Origine Fichiers produits par l'(les) auteur(s)

Dates et versions

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

Identifiants

Citer

Christophe Profeta. The area under a spectrally positive stable excursion and other related processes. Electronic Journal of Probability, 2021, 26 (none), pp.1-21. ⟨10.1214/21-EJP618⟩. ⟨hal-02928052v2⟩
64 Consultations
49 Téléchargements

Altmetric

Partager

Gmail Mastodon Facebook X LinkedIn More