Law of the First Passage Triple of a Spectrally Positive Strictly Stable Process

Zhiyi Chi ()
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Zhiyi Chi: University of Connecticut

Journal of Theoretical Probability, 2020, vol. 33, issue 2, 715-748

Abstract: Abstract For a spectrally positive and strictly stable process with index in (1, 2), a series representation is obtained for the joint distribution of the “first passage triple” that consists of the time of first passage and the undershoot and the overshoot at first passage. The result leads to several corollaries, including (1) the joint law of the first passage triple and the pre-passage running supremum, and (2) at a fixed time point, the joint law of the process’ value, running supremum, and the time of the running supremum. The representation can be decomposed as a sum of strictly positive functions that allow exact sampling of the first passage triple.

Keywords: First passage; Lévy process; Stable; Spectrally positive; Mittag–Leffler; Running supremum; Exact sampling; Primary 60G51; Secondary 60E07 (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1007/s10959-019-00898-w

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