On the supremum of the spectrally negative stable process with drift

Guillaume Coqueret

doi:10.1016/j.spl.2015.09.012

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On the supremum of the spectrally negative stable process with drift

Journal article

Peer reviewed

On the supremum of the spectrally negative stable process with drift

Guillaume Coqueret

Statistics & Probability Letters, pp.333-340

01/12/2015

DOI: https://doi.org/10.1016/j.spl.2015.09.012

Abstract

Spectrally negative stable process

Running supremum

Series representation

We provide a series representation for the cumulative distribution of the supremum of the spectrally negative stable process with drift. We also provide two approximation methods for small and large arguments of this function. Numerical examples are detailed and a financial application is also discussed.

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Title: On the supremum of the spectrally negative stable process with drift
Creators: Guillaume Coqueret (Author) - Montpellier Business School
Publication Details: Statistics & Probability Letters, pp.333-340
Format: 333-340 p.
Identifiers: 9917355209453
Academic Unit: emlyon business school
Language: English
Resource Type: Journal article
Local Fields: 258090

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Citation topics: 9 Mathematics; 9.50 Applied Statistics & Probability; 9.50.372 Stochastic Processes
Web of Science research areas: Statistics & Probability