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JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive

Teor. Veroyatnost. i Primenen., 1973 Volume 18, Issue 1, Pages 164–172 (Mi tvp2690)

This article is cited in 2 papers

Short Communications

On the joint distribution of random variables connected with fluctuations of a stable process

V. B. Nevzorov

Leningrad

Abstract: Let $\xi(t)$, $t\ge0$, be a stable process with characteristic function (1).
The joint distributions of random variables
$$ \overline\xi(t)=\sup_{0\le u\le t}\xi(u),\quad\overline\xi(t)-\xi(t),\quad T(t)=\inf\{u\colon\overline\xi(u)-\overline\xi(t),\quad0\le u\le t\} $$
is obtained.

Received: 07.01.1971


 English version:
Theory of Probability and its Applications, 1973, 18:3, 161–169

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