The area of a spectrally positive stable process stopped at zero

IF 0.4 4区数学 Q4 STATISTICS & PROBABILITY

Probability and Mathematical Statistics-Poland Pub Date : 2014-09-30 DOI:10.19195/0208-4147.38.1.2

Julien Letemplier, T. Simon

引用次数: 4

Abstract

A multiplicative identity in law for the area of a spectrally positive Lévy ∝-stable process stopped at zero is established. Extending that of Lefebvre for Brownian motion, it involves an inverse beta random variable and the square of a positive stable random variable. This simple identity makes it possible to study precisely the behaviour of the density at zero, which is Fréchet-like.

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光谱正稳定过程的面积停止于零

建立了停止于零的谱正lsamy∝稳定过程的面积的乘法恒等式。扩展了Lefebvre的布朗运动，它涉及一个逆随机变量和一个正稳定随机变量的平方。这个简单的恒等式使得精确地研究密度在零处的行为成为可能，这是类似于fr契特的。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Probability and Mathematical Statistics-Poland STATISTICS & PROBABILITY-

CiteScore

0.70

自引率

0.00%

发文量

审稿时长

>12 weeks

期刊介绍： PROBABILITY AND MATHEMATICAL STATISTICS is published by the Kazimierz Urbanik Center for Probability and Mathematical Statistics, and is sponsored jointly by the Faculty of Mathematics and Computer Science of University of Wrocław and the Faculty of Pure and Applied Mathematics of Wrocław University of Science and Technology. The purpose of the journal is to publish original contributions to the theory of probability and mathematical statistics.