Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/22839
Authors: 
Schürger, Klaus
Year of Publication: 
2002
Series/Report no.: 
Bonn econ discussion papers 2002,1
Abstract: 
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 to certain first passage times gives explicit formulae for mo- ments of suprema of Bessel processes as well as strictly stable Lévy processes having no positive jumps.
Subjects: 
Laplace transform
Bessel process
Lévy process
JEL: 
G12
Document Type: 
Working Paper

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