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 No. 10/2002
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 of certain first passage times gives explicit formulae for moments of suprema of Bessel processes as well as strictly stable Levy processes having no positive jumps.
Subjects: 
Laplace transform
Bessel process
Lévy process
JEL: 
G12
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.