Laplace transforms and suprema of stochastic processes

It is shown that moments of negative order as well as positive non- integral order of a nonnegative random variable X can be expressed by the Laplace transform of X. Applying these results of certain first passage times gives explicit formulae for moments of suprema of Bessel processes as well as strictly stable Levy processes having no positive jumps.

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Year of publication:	2002
Authors:	Schürger, Klaus
Publisher:	Bonn : University of Bonn, Bonn Graduate School of Economics (BGSE)
Subject:	Stochastischer Prozess \| Theorie \| Laplace transform \| Bessel process \| Lévy process

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Series:	Bonn Econ Discussion Papers ; 10/2002
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	374123357 [GVK] hdl:10419/22839 [Handle] RePEc:zbw:bonedp:102002 [RePEc]
Classification:	G12 - Asset Pricing
Source:	EconStor

Persistent link: https://www.econbiz.de/10010263064