Laplace transforms and suprema of stochastic processes

Klaus Schürger

No 10/2002, Bonn Econ Discussion Papers from University of Bonn, Bonn Graduate School of Economics (BGSE)

Abstract: 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.

Keywords: Laplace transform; Bessel process; Lévy process (search for similar items in EconPapers)
JEL-codes: G12 (search for similar items in EconPapers)
Date: 2002
References: View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/22839/1/bgse10_2002.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:zbw:bonedp:102002

Access Statistics for this paper

More papers in Bonn Econ Discussion Papers from University of Bonn, Bonn Graduate School of Economics (BGSE) Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics (econstor@zbw-workspace.eu).