On the joint distribution of the supremum functional and its last occurrence for subordinated linear Brownian motion

Stergios Fotopoulos, Venkata Jandhyala and Jun Wang

Statistics & Probability Letters, 2015, vol. 106, issue C, 149-156

Abstract: In this communication, a convenient Laplace transform of the bivariate supremum and the last time the supremum is attained, is established when the underlying Lévy process is subordinate Brownian motion with drift. Explicit integral representations of the Laplace transform of the joint supremum and the last time it occurred are derived in terms of the Lévy–Khintchine exponent of the subordinator Laplace exponent. As an example, a subordinator with exponential Lévy measure is exploited.

Keywords: Brownian Linear motion with negative drift; Wiener–Hopf factorization; Limit of convolution of exponential mixtures; Laplace transform (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (2)

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DOI: 10.1016/j.spl.2015.07.018

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