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arxiv: 1010.3603 · v2 · pith:YYOQRXWLnew · submitted 2010-10-18 · 🧮 math.PR

A convergent series representation for the density of the supremum of a stable process

classification 🧮 math.PR
keywords densityseriesstablesupremumconvergentprocessabsolutelyalmost
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We study the density of the supremum of a strictly stable L\'evy process. We prove that for almost all values of the index $\alpha$ -- except for a dense set of Lebesgue measure zero -- the asymptotic series which were obtained in A. Kuznetsov (2010) "On extrema of stable processes" are in fact absolutely convergent series representations for the density of the supremum.

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