On a maximum of stable Levy processes

被引：0

作者：

Molchan, GM

机构：

[1] RAS, Int Inst Theory Earthquake Prognosis & Math Geoph, Moscow 113556, Russia

[2] Observ Cote Azur, F-06003 Nice, France

来源：

THEORY OF PROBABILITY AND ITS APPLICATIONS | 2000年 / 45卷 / 02期

关键词：

extremal values; Levy processes; self-similar processes;

D O I：

暂无

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Let G and S be the location and the maximal value of a stable Levy process X on an interval [0,a]. It is shown that the dimensionless S/G(h), where h is the self-similarity parameter of X, is independent of G. This fact allows us to analyze G for the trajectories of X with high and low maxima.

引用

页码：343 / 349

页数：7

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