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arxiv: 1001.0991 · v3 · pith:GNTANJPPnew · submitted 2010-01-07 · 🧮 math.PR

On extrema of stable processes

classification 🧮 math.PR
keywords supremumwiener--hopfdistributionexplicitextremafactorsfunctionalgeneral
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We study the Wiener--Hopf factorization and the distribution of extrema for general stable processes. By connecting the Wiener--Hopf factors with a certain elliptic-like function we are able to obtain many explicit and general results, such as infinite series representations and asymptotic expansions for the density of supremum, explicit expressions for the Wiener--Hopf factors and the Mellin transform of the supremum, quasi-periodicity and functional identities for these functions, finite product representations in some special cases and identities in distribution satisfied by the supremum functional.

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