On the supremum of the spectrally negative stable process with drift

Guillaume Coqueret

Statistics & Probability Letters, 2015, vol. 107, issue C, 333-340

Abstract: We provide a series representation for the cumulative distribution of the supremum of the spectrally negative stable process with drift. We also provide two approximation methods for small and large arguments of this function. Numerical examples are detailed and a financial application is also discussed.

Keywords: Spectrally negative stable process; Running supremum; Series representation (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spl.2015.09.012

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