Formula for the supremum distribution of a spectrally positive Lévy process

Details Formula for the supremum distribution of a spectrally positive Lévy process Formula for the supremum distribution of a spectrally positive Lévy process

2011-04-11

arxiv.org/abs/1104.1976v3

Mathematics

Probability

Scientific paper

In this article we derive formula for probability $\Prob(\sup_{t\leq T}
(X(t)-ct)>u)$ where $X=\{X(t)\}$ is a spectrally positive L\'evy process and
$c\in\RL$. As an example we investigate the inverse Gaussian L\'evy process.

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