English, Article, Journal or magazine article edition: Laplace transforms and suprema of stochastic processes Klaus Schürger

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Bookmark: http://trove.nla.gov.au/version/52739
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Laplace transforms and suprema of stochastic processes
Author
  • Klaus Schürger
Physical Description
  • preprint
Notes
  • It is shown that moments of negative order as well as positive non- integral order of a nonnegative random variable X can be expressed by the Laplace transform of X. Applying these results of certain first passage times gives explicit formulae for moments of suprema of Bessel processes as well as strictly stable Levy processes having no positive jumps.
  • Laplace transform, Bessel processes, Levy process
  • RePEc:bon:bonedp:bgse10_2002
Language
  • English
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