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arxiv: 1103.0935 · v3 · pith:F4XRARJVnew · submitted 2011-03-04 · 🧮 math.PR

Suprema of L\'{e}vy processes

classification 🧮 math.PR
keywords distributionprocessassumptionscasecumulativeestimateexponentfind
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In this paper we study the supremum functional $M_t=\sup_{0\le s\le t}X_s$, where $X_t$, $t\ge0$, is a one-dimensional L\'{e}vy process. Under very mild assumptions we provide a simple, uniform estimate of the cumulative distribution function of $M_t$. In the symmetric case we find an integral representation of the Laplace transform of the distribution of $M_t$ if the L\'{e}vy-Khintchin exponent of the process increases on $(0,\infty)$.

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