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arxiv: 1002.0614 · v2 · submitted 2010-02-02 · 🧮 math.PR

Series representations and asymptotic expansions for the density of the supremum of a stable process

classification 🧮 math.PR
keywords alphaasymptoticdensityexpansionssupremumprocessrepresentationsseries
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We derive explicit asymptotic expansions of the density of the supremum of a strictly stable process when the index $\alpha$ is not rational. In the case when parameters $\alpha$ and $\rho=\p(X_1>0)$ satisfy $\rho+k=l/\alpha$ for some integers $k,l \ge 1$ we prove that these asymptotic expansions are in fact convergent series representations of the density of supremum.

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