RUS  ENG
Full version
JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive

Teor. Veroyatnost. i Primenen., 2000 Volume 45, Issue 2, Pages 380–386 (Mi tvp471)

This article is cited in 2 papers

Short Communications

On a maximum of stable Lévy processes

G. M. Molchanab

a International Institute of Earthquake Prediction Theory and Mathematical Geophysics RAS
b Observatoire de la Côte d'Azur

Abstract: Let $G$ and $S$ be the location and the maximal value of a stable Lévy process $X$ on an interval $[0,a]$. It is shown that the dimensionless $S/G^h$, where h is the self-similarity parameter of $X$, is independent of $G$. This fact allows us to analyze $G$ for the trajectories of $X$ with high and low maxima.

Keywords: extremal values, Lévy processes, self-similar processes.

Received: 15.09.1999

DOI: 10.4213/tvp471


 English version:
Theory of Probability and its Applications, 2001, 45:2, 343–349

Bibliographic databases:


© Steklov Math. Inst. of RAS, 2024