L^·AGENDA

Séminaires DSA - The distribution of the supremum for spectrally asymmetric Lévy processes

Zbigniew Michna - University of Wroclaw, Poland

In this article we derive formulas for the probability $P(\sup_{t\leq T} X(t)>u)$, $T>0$ and $P(\sup_{t<\infty} X(t)>u)$ where $X$ is a spectrally positive Lévy process with infinite variation. The formulas are generalizations of the well-known Takács formulas for stochastic processes with non-negative and interchangeable increments. Moreover, we find the joint distribution of $\inf_{t\leq T} Y(t)$ and $Y(T)$ where $Y$ is a spectrally negative Lévy process.  Joint work with Zbigniew Palmowski, Martijn Pistorius.

• Sur le campus
• Economie