The area under a spectrally positive stable excursion and other related processes - Archive ouverte HAL
Pré-Publication, Document De Travail Année : 2020

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. 2020. ⟨hal-02928052v1⟩
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