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Title: Law of the First Passage Triple of a Spectrally Positive Strictly Stable Process
Law of the first passage triple of a spectrally positive strictly stable process. For a spectrally positive and strictly stable process with index in (1,2), a series representation is obtained for the joint distribution of the "first passage triple" that consists of the time of first passage and the undershoot and the overshoot at first passage. The result leads to several corollaries, including (1) the joint law of the first passage triple and the pre-passage running supremum, and (2) at a fixed time point, the joint law of the process' value, running supremum, and the time of the running supremum. The representation can be decomposed as a sum of strictly positive functions that allow exact sampling of the first passage triple.  more » « less
Award ID(s):
1720218
PAR ID:
10096884
Author(s) / Creator(s):
Date Published:
Journal Name:
Journal of Theoretical Probability
ISSN:
0894-9840
Format(s):
Medium: X
Sponsoring Org:
National Science Foundation
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