Laplace transforms and suprema of stochastic processes

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.

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Year of publication:	2002-05
Authors:	Schürger, Klaus
Institutions:	University of Bonn, Germany
Subject:	Laplace transform \| Bessel processes \| Levy process

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Extent:	application/pdf
Series:	Bonn Econ Discussion Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	1 pages long
Classification:	G12 - Asset Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005001488