کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1155701 | 958759 | 2013 | 18 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
On the density of the supremum of a stable process
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: On the density of the supremum of a stable process On the density of the supremum of a stable process](/preview/png/1155701.png)
چکیده انگلیسی
We study the density of the supremum of a strictly stable Lévy process. Our first goal is to investigate convergence properties of the series representation for this density, which was established recently by Hubalek and Kuznetsov (2011) [24]. Our second goal is to investigate in more detail the important case when α is rational: we derive an explicit formula for the Mellin transform of the supremum. We perform several numerical experiments and discuss their implications. Finally, we state some interesting connections that this problem has to other areas of Mathematics and Mathematical Physics and we also suggest several open problems.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 123, Issue 3, March 2013, Pages 986-1003
Journal: Stochastic Processes and their Applications - Volume 123, Issue 3, March 2013, Pages 986-1003
نویسندگان
A. Kuznetsov,