The area of a spectrally positive stable process stopped at zero

Julien Letemplier; Thomas Simon

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arXiv · 1410.0036

The area of a spectrally positive stable process stopped at zero

Julien Letemplier·Thomas Simon

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Abstract

An identity in law for the area of a spectrally positive Lévy stable process stopped at zero is established. Extending that of Lefebvre for Brownian motion, it involves an inverse Beta random variable and the square of a positive stable random variable. This identity entails that the stopped area is distributed as the perpetuity of a spectrally negative Lévy process, and is hence self-decomposable. We also derive a convergent series representation for the density, whose behaviour at zero is shown to be Fréchet-like.

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Julien Letemplier, Thomas Simon. 2014-09-30. The area of a spectrally positive stable process stopped at zero. https://arxiv.org/abs/1410.0036

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