Resource title

Laplace transforms and suprema of stochastic processes

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Resource description

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 to certain first passage times gives explicit formulae for mo- ments of suprema of Bessel processes as well as strictly stable Lévy processes having no positive jumps.

Resource author

Klaus Schürger

Resource publisher

Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/22839

Resource license

Adapt according to the presented license agreement and reference the original author.