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Bonn Econ Discussion Papers, Bonn Graduate School of Economics (BGSE), Universität Bonn >
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http://hdl.handle.net/10419/22839
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| Title: | | Laplace transforms and suprema of stochastic processes  |
| Authors: | | Schürger, Klaus |
| Issue Date: | | 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 |
| Appears in Collections: | | Bonn Econ Discussion Papers, Bonn Graduate School of Economics (BGSE), Universität Bonn
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