On the first exit time of a completely asymmetric stable process from a finite interval

被引:43
作者
Bertoin, J
机构
[1] Lab. de Probabilités (CNRS), Université Paris VI, 75252 Paris
关键词
D O I
10.1112/blms/28.5.514
中图分类号
O1 [数学];
学科分类号
0701 ; 070101 ;
摘要
We compute the Laplace transform of the distribution of the first exit time from a finite interval for a completely asymmetric stable process. The formula involves a Mittag-Leffler function and its derivative. As an application, we determine the asymptotic tail behaviour of the foregoing distribution, and deduce an extension of the law of the iterated logarithm of Chung.
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页码:514 / 520
页数:7
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