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
收藏
页码：343 / 349
页数：7
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