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arXiv · 0904.2191

Fonctions de Mittag-Leffler et processus de Lévy stables sans saut négatif

Thomas Simon
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Abstract

It is noticed that a certain transform of the Mittag-Leffler function Ea is completely monotone for a in [1,2]. Using the explicit expressions of its Bernstein density, an identity in law between suprema of completely asymmetric Levy a-stable processes. In the spectrally positive case, we retrieve the exact expression of a unilateral small deviation constant which had been previously obtained by a different method by Bernyk, Dalang and Peskir.

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Thomas Simon. 2009-04-14. Fonctions de Mittag-Leffler et processus de Lévy stables sans saut négatif. https://arxiv.org/abs/0904.2191

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