Joint density of a stable process and its supremum: regularity and upper bounds
arXiv:2008.01894 · doi:10.3150/23-BEJ1590
Abstract
This article uses a combination of three ideas from simulation to establish a nearly optimal polynomial upper bound for the joint density of the stable process and its associated supremum at a fixed time on the entire support of the joint law. The representation of the concave majorant of the stable process and the Chambers-Mallows-Stuck representation for stable laws are used to define an approximation of the random vector of interest. An interpolation technique using multilevel Monte Carlo is applied to accelerate the approximation, allowing us to establish the infinite differentiability of the joint density as well as nearly optimal polynomial upper bounds for the joint mixed derivatives of any order.
arXiv commentRestructured the paper and the introduction. 30 pages, 2 figures, YouTube video on: https://youtu.be/x0n3Up9CxCA
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- Joint density of a stable process and its supremum: regularity and upper bounds