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文章基本信息

  • 标题:First Passage of Reflected Strictly Stable Processes
  • 本地全文:下载
  • 作者:Andreas. E. Kyprianou
  • 期刊名称:Latin American Journal of Probability and Mathematical Statistics
  • 电子版ISSN:1980-0436
  • 出版年度:2006
  • 卷号:II
  • 出版社:Instituto Nacional De Matemática Pura E Aplicada
  • 摘要:

    Suppose that X is a strictly stable process under P and denote its
    running maximum to time t  0 by Xt. Suppose that for z  0, Y under Pz has
    the same law as the process f(z _Xt) ..Xt : t  0g under P. Let [0;1] be the rst
    passage time of the process Y over the level 1. We give in explicit terms the law of
    Y[0;1] under Pz for any z  0.

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