Conjectured distribution formula for the ascending Lévy process supremum
Let be a Lévy process whose Lévy–Khintchine exponent is a balanced Rogers function. Let be the canonical parametrisation of , let , let be the Wiener–Hopf factor, and let be the function described by the preceding definitions. Assume
and, for some ,
Conjectured supremum-distribution formula. For and ,
This would give a semi-explicit expression for the distribution of the ascending process supremum. The formula is expected to follow by interchanging integrations in the Laplace-transform representation and then inverting the transform; the required Fubini justification is not established here. The boundedness assumption on may also be difficult to relax, even for strictly stable Lévy processes.
References
Primary source
Mateusz Kwaśnicki, “Rogers functions and fluctuation theory”, arXiv:1312.1866 (2013).
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