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Transformations of joint distributions of random variables connected with fluctuations of a process with independent increments
E. A. Pechersky,
B. A. Rogozin Novosibirsk
Abstract:
Let
$\xi(t)$,
$t\ge0$, be a homogeneous process with independent increments, $\mathbf M\exp\{\lambda\xi(t)\}=\exp\{t\psi(\lambda)\}$ be its characteristic function. The random variables
\begin{gather*}
\overline\xi(t)=\sup_{0\le u\le t}\{\xi(u)\},\quad T(t)=\inf\{u\colon\overline\xi(u)=\overline\xi(t)\},\quad\tau(x)=\inf\{u\colon\overline\xi(u)\ge x\},
\\
L(t)=\frac12\int_0^t(1+\operatorname{sign}\xi(u))\,du,\quad\gamma(x)=\overline\xi(\tau(x))-x
\end{gather*}
being considered, expressions of the following transforms of their distributions
\begin{gather*}
\int_0^\infty e^{-ut}\mathbf M\exp\{\lambda\overline\xi(t)+\mu(\xi(t)-\overline\xi(t))-\nu T(t)\}\,dt,
\\
\int_0^\infty e^{-ut}\mathbf M\exp\{\mu\xi(t)-\nu L(t)\}\,dt,\quad\int_0^\infty e^{\lambda x}\mathbf M\exp\{\lambda\tau(x)+\mu\gamma(x)\}\,dx
\end{gather*}
are obtained in terms of the components of the infinitely divisible factorization of
$uf(u-\psi(\lambda))$.
Received: 22.11.1968