Conjectured distribution formula for the ascending Lévy process supremum
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.
Sources & referencesView supporting material
Primary source
Mateusz Kwaśnicki, “Rogers functions and fluctuation theory”, arXiv:1312.1866 (2013).
Progress summary
Nothing recorded yet. Refresh searches the literature and the public web for attempts on this problem, and writes the first summary here.
Solutions 0
Sign in to submit a solution.
No solutions have been posted yet.