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Title:Laplace transforms and suprema of stochastic processes PDF Logo
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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